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Optimal decision under ambiguity for diffusion processes
- Christensen, Sören, 1982 (author)
- 2013-01-17
- 2013
- English.
- In: Mathematical Methods of Operations Research. - : Springer Science and Business Media LLC. - 1432-2994 .- 1432-5217. ; 77:2, s. 207-226
- Journal article (peer-reviewed)
Abstract
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- 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.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Optimal stopping
- Crash-scenario
- Dynkin games
- Ambiguity aversion
- Diffusion processes
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- art (subject category)
- ref (subject category)
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