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Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
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...
Persistent link: https://www.econbiz.de/10008527066
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Optimal stopping under uncertainty in drift and jump intensity
Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209
Persistent link: https://www.econbiz.de/10011956978
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Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John - 2009
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...
Persistent link: https://www.econbiz.de/10003905569
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Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John - 2009
Persistent link: https://www.econbiz.de/10003924289
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Maximum-Likelihood-Schätzung in gekrümmten Exponentialfamilien
Krätschmer, Volker - 1995
Persistent link: https://www.econbiz.de/10000921172
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Maximum-Likelihood-Schätzung in Unterfamilien von Exponentialfamilien
Krätschmer, Volker - In: Selected papers of the Symposium on Operations Research …, (pp. 212-216). 1996
Persistent link: https://www.econbiz.de/10001318173
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Robust representation of convex risk measures by probability measures
Krätschmer, Volker - In: Finance and stochastics 9 (2005) 4, pp. 597-608
Persistent link: https://www.econbiz.de/10003133313
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The uniqueness of extremum estimation
Krätschmer, Volker (contributor) - 2006
Persistent link: https://www.econbiz.de/10003402324