In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

SFB 649 Discussion Paper 2006-038 Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market Denis Belomestny* Grigori N. Milstein** * Weierstrass Institute for Applied Analysis and Stochastics, Berlin,...

SFB 649 Discussion Paper 2006-043 An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems Denis Belomestny* Pavel V. Gapeev** * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany ** Russian Academy of...

SFB 649 Discussion Paper 2006-051 Regression methods in pricing American and Bermudan options using consumption processes Denis Belomestny* Grigori N. Milstein** Vladimir Spokoiny* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany...