Optimal Stopping for Dynamic Convex Risk Measures
Illinois Journal of Mathematics, 54, 1025-1067, 2010
43 Pages Posted: 16 Feb 2014 Last revised: 8 Jul 2016
Date Written: September 27, 2009
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.
Keywords: Convex risk measures, continuous-time optimal stopping, robustness methods, zero sum games, saddle point, reflected backward stochastic differential equations, BMO martingales
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