Robust optimal stopping
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2102 | |
dc.contributor.author | Krätschmer, Volker | |
dc.contributor.author | Ladkau, Marcel | |
dc.contributor.author | Laeven, Roger J.A. | |
dc.contributor.author | Schoenmakers, John G.M. | |
dc.contributor.author | Stadje, Mitja | |
dc.date.available | 2019-06-28T08:22:34Z | |
dc.date.issued | 2015 | |
dc.description.abstract | This paper studies the optimal stopping problem in the presence of model uncertainty (ambiguity). We develop a method to practically solve this problem in a general setting, allowing for general time-consistent ambiguity averse preferences and general payoff processes driven by jump-diffusions. Our method consists of three steps. First, we construct a suitable Doob martingale associated with the solution to the optimal stopping problem using backward stochastic calculus. Second, we employ this martingale to construct an approximated upper bound to the solution using duality. Third, we introduce backward-forward simulation to obtain a genuine upper bound to the solution, which converges to the true solution asymptotically. We analyze the asymptotic behavior and convergence properties of our method. We illustrate the generality and applicability of our method and the potentially significant impact of ambiguity to optimal stopping in a few examples. | |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 2198-5855 | |
dc.identifier.uri | https://doi.org/10.34657/3102 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/3331 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.subject.ddc | 510 | |
dc.subject.other | Optimal stopping | eng |
dc.subject.other | model uncertainty | eng |
dc.subject.other | robustness | eng |
dc.subject.other | convex risk measures | eng |
dc.subject.other | ambiguity aversion | eng |
dc.subject.other | duality | eng |
dc.subject.other | BSDEs | eng |
dc.subject.other | Monte Carlo simulation | eng |
dc.subject.other | regression | eng |
dc.subject.other | relative entropy | eng |
dc.title | Robust optimal stopping | |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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