On optimal stopping and free boundary problems under ambiguity

被引：1
作者：
Zhao, Guoqing [1 ]
Zhai, Kun [1 ]
Zong, Gaofeng [2 ]
机构：
[1] Shandong Univ Finance & Econ, Sch Finance, Jinan 250014, Shandong, Peoples R China
[2] Shandong Univ Finance & Econ, Sch Math, Jinan 250014, Shandong, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2018年 / 139卷
关键词：
BSDE; g-expectation; Optimal stopping; Free boundary problem; Ambiguity;
D O I：
10.1016/j.spl.2018.04.005
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper considers verification theorems for optimal stopping under ambiguity for diffusion processes via connecting with free boundary problems in infinite time horizon. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：129 / 134
页数：6
相关论文
共 17 条
  • [1] [Anonymous], 1965, Markov Processes
  • [2] [Anonymous], 1968, LINEAR QUASILINEAR E
  • [3] Chen ZJ, 2013, ST PROB OPT, V5, P97, DOI 10.3233/978-1-61499-238-7-97
  • [4] Ambiguity, risk, and asset returns in continuous time
    Chen, ZJ
    Epstein, L
    [J]. ECONOMETRICA, 2002, 70 (04) : 1403 - 1443
  • [5] Darling RWR, 1997, ANN PROBAB, V25, P1135
  • [6] Representation of the penalty term of dynamic concave utilities
    Delbaen, Freddy
    Peng, Shige
    Gianin, Emanuela Rosazza
    [J]. FINANCE AND STOCHASTICS, 2010, 14 (03) : 449 - 472
  • [7] El Karoui N, 1997, ANN PROBAB, V25, P702
  • [8] MAXMIN EXPECTED UTILITY WITH NON-UNIQUE PRIOR
    GILBOA, I
    SCHMEIDLER, D
    [J]. JOURNAL OF MATHEMATICAL ECONOMICS, 1989, 18 (02) : 141 - 153
  • [9] Janczak-Borkowska K., 2011, B POLISH ACAD SCI MA, V59, P85
  • [10] MCKEAN HP, 1965, IMR-IND MANAG REV, V6, P32
12