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Numrering	Referens	Omslagsbild	Hitta
1.	Christensen, Sören, 1982 (författare) Optimal decision under ambiguity for diffusion processes 2013 Ingår i: Mathematical Methods of Operations Research. - : Springer Science and Business Media LLC. - 1432-2994 .- 1432-5217. ; 77:2, s. 207-226 Tidskriftsartikel (refereegranskat)abstract In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift ambiguity for one-dimensional diffusion processes. Analogously to the case of ordinary optimal stopping problems for one-dimensional Brownian motions we reduce the problem to the geometric problem of finding the smallest majorant of the reward function in a two-parameter function space. In a second part we solve optimal stopping problems when the underlying process may crash down. These problems are reduced to one optimal stopping problem and one Dynkin game. Examples are discussed. © 2013 Springer-Verlag Berlin Heidelberg.

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