Optimal Stopping for Dynamic Convex Risk Measures
Probability
2009-11-23 v3 Optimization and Control
Computational Finance
Abstract
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an equivalent zero-sum game of control and stopping, between an agent (the "stopper") who chooses the termination time of the game, and an agent (the "controller", or "nature") who selects the probability measure.
Cite
@article{arxiv.0909.4948,
title = {Optimal Stopping for Dynamic Convex Risk Measures},
author = {Erhan Bayraktar and Ioannis Karatzas and Song Yao},
journal= {arXiv preprint arXiv:0909.4948},
year = {2009}
}
Comments
Keywords: Convex risk measures, continuous-time optimal stopping, robustness methods