OPTIMAL STOPPING FOR DYNAMIC CONVEX RISK MEASURES

被引：38

作者：

Bayraktar, Erhan ^{[1
]}

Karatzas, Ioannis ^{[2
]}

Yao, Song ^{[3
]}

机构：

[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA

[2] INTECH Investment Management, Princeton, NJ 08542 USA

[3] Univ Pittsburgh, Dept Math, Pittsburgh, PA 15260 USA

来源：

ILLINOIS JOURNAL OF MATHEMATICS | 2010年 / 54卷 / 03期

基金：

美国国家科学基金会;

关键词：

NONLINEAR EXPECTATIONS; MARTINGALE APPROACH; PART;

D O I：

10.1215/ijm/1336049984

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：1025 / 1067

页数：43

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