Showing 1 - 10 of 98
Persistent link: https://www.econbiz.de/10001421506
Persistent link: https://www.econbiz.de/10001597002
Persistent link: https://www.econbiz.de/10001570497
Persistent link: https://www.econbiz.de/10001581017
Persistent link: https://www.econbiz.de/10001756484
Persistent link: https://www.econbiz.de/10000562878
Persistent link: https://www.econbiz.de/10001957574
Persistent link: https://www.econbiz.de/10001744240
Persistent link: https://www.econbiz.de/10002923739
We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted...
Persistent link: https://www.econbiz.de/10003964862