On the Robust Optimal Stopping Problem
نویسندگان
چکیده
منابع مشابه
On the Robust Optimal Stopping Problem
We study a robust optimal stopping problem with respect to a set P of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse player wants to minimize this payoff by choosing an evaluation criteria from P . We show that the upper Snell envelope Z of the reward process Y is a supermarti...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2014
ISSN: 0363-0129,1095-7138
DOI: 10.1137/130950331