Optimal Stopping for Dynamic Convex Risk Measures

Details Optimal Stopping for Dynamic Convex Risk Measures Optimal Stopping for Dynamic Convex Risk Measures

2009-09-27

arxiv.org/abs/0909.4948v3

Mathematics

Probability

Keywords: Convex risk measures, continuous-time optimal stopping, robustness methods

Scientific paper

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.

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