Optimal stopping under model uncertainty: Randomized stopping times approach
نویسندگان
چکیده
منابع مشابه
Optimal Stopping under Model Uncertainty
Optimal Stopping under Model Uncertainty Ingrid-Mona Zamfirescu The aim of this paper is to extend the theory of optimal stopping to cases in which there is model-uncertainty. This means that we are given a set of possible models in the form of a family P of probability measures, equivalent to a reference probability measure Q on a given measurable space (Ω,F). We are also given a filtration F ...
متن کاملOptimal Stopping under Drift Uncertainty
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the ‘0 − 1’ loss function and a constant cost of observation per unit of time for general prior distributions. The statistical problem is reformulated as an optimal stopping problem with the current conditional probability that the drift is non-negative as the und...
متن کاملRobust Optimal Stopping under Volatility Uncertainty
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 supermartin...
متن کاملOptimal Stopping under Ambiguity
We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time–consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super)martingales, provide a Doob–M...
متن کاملOptimal Stopping under Probability Distortion∗
We formulate an optimal stopping problem where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We develop a new approach, based on a reformulation of the problem where one optimally chooses the probability distribution or quantile function of the stopped state. An optimal stopping time can t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2016
ISSN: 1050-5164
DOI: 10.1214/15-aap1116