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Optimal stopping under probability distortions

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Persistent link: https://www.econbiz.de/10011742531

On dynamic coherent and convex risk measures : risk optimal behavior and information gains

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Optimal stopping with dynamic variational preferences

Engelage, Daniel - In: Journal of economic theory 146 (2011) 5, pp. 2042-2074

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A novel job search problem in hybrid uncertain environment

Wang, Guoli; Tang, Wansheng; Zhao, Ruiqing - In: Fuzzy optimization and decision making : a journal of … 12 (2013) 3, pp. 249-261

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On dynamic Knightian uncertainty models : time-consistency and optimal behavior

Bier, Monika - 2010

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Optimal stopping with dynamic variational preferences

Engelage, Daniel - 2009

We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences as in [15] or, equivalently, assessing risk by dynamic convex risk measures as in [4]. The solutionis achieved by generalizing the approach in...