TY  - GEN
AB  - 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 Hamilton-Jacobi-Bellman equation involving a nonlinear drift term that stems from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options.
DA  - 2010
KW  - Optimal stopping
KW  - Uncertainty aversion
KW  - Robustness
KW  - Optimal control
KW  - Continuous time
KW  - Ambiguity
LA  - eng
PY  - 2010
SN  - 0931-6558
TI  - Optimal Stopping under Ambiguity in Continuous Time
UR  - https://nbn-resolving.org/urn:nbn:de:0070-bipr-47887
Y2  - 2024-11-22T05:56:11
ER  -