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Persistent link: https://www.econbiz.de/10012183057
We formulate an optimal stopping problem where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We develop a new approach, based on a reformulation of the problem where one optimally chooses...
Persistent link: https://www.econbiz.de/10013128722
Persistent link: https://www.econbiz.de/10009562313