The objective of this study is to provide an alternative characterization of the optimal value function of a certain Black- Scholes-type optimal stopping problem where the underlying stochastic process is a general random walk, i.e. the process constituted by partial sums of an IID sequence of...

We study a continuous-time game of strategic experimentation in which the players try to assess the failure rate of some new equipment or technology. Breakdowns occur at the jump times of a Poisson process whose unknown intensity is either high or low. In marked contrast to existing models, we...

We study a continuous-time game of strategic experimentation in which the players try to assess the failure rate of some new equipment or technology. Breakdowns occur at the jump times of a Poisson process whose unknown intensity is either high or low. In marked contrast to existing models, we...

We use a Wicksellian single rotation framework to analyze the impact of the intertemporally fluctuating and stochastic mean-reverting interest rate process on the optimal harvesting threshold and thereby the expected length of the rotation period, when forest value is also stochastic following...

We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences or, equivalently, assessing risk by dynamic convex risk measures. The solution is achieved by generalizing the approach in terms of multiple priors...

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted...

We model and solve Best Choice Problems in the multiple prior framework: An ambiguity averse decision maker aims to choose the best among a fixed number of applicants that appear sequentially in a random order. The decision faces ambiguity about the probability that a candidate - a relatively...

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first...

We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the insurance company evolves according to the diffusive...

This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework, A key aspect of our study involves the agent's option to choose when to acquire life insurance for bequest purposes, We...