Open Access
Fall; 2010 Optimal stopping for dynamic convex risk measures
Erhan Bayraktar, Ioannis Karatzas, Song Yao
Illinois J. Math. 54(3): 1025-1067 (Fall; 2010). DOI: 10.1215/ijm/1336049984

Abstract

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.

Citation

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Erhan Bayraktar. Ioannis Karatzas. Song Yao. "Optimal stopping for dynamic convex risk measures." Illinois J. Math. 54 (3) 1025 - 1067, Fall; 2010. https://doi.org/10.1215/ijm/1336049984

Information

Published: Fall; 2010
First available in Project Euclid: 3 May 2012

zbMATH: 1259.60042
MathSciNet: MR2928345
Digital Object Identifier: 10.1215/ijm/1336049984

Subjects:
Primary: 60G40 , 60H30 , 91A15

Rights: Copyright © 2010 University of Illinois at Urbana-Champaign

Vol.54 • No. 3 • Fall; 2010
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