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. -- Optimal stopping ; Ambiguity ; Uncertainty aversion ; Robustness ; Continuous time ; Optimal control …
Persistent link: https://www.econbiz.de/10003964862
uncertainty. Using the theory of (reflected) backward stochastic differential equations we are able to solve the optimal stopping … ; uncertainty aversion ; multiple priors ; robustness ; (reflected) BSDEs …
Persistent link: https://www.econbiz.de/10008990920
of forest coverage, for the next 20, 100 and 200 years. Our results suggest that the uncertainty characterizing forest …
Persistent link: https://www.econbiz.de/10011547513
We give short proofs of general theorems about optimal entry and exit problems in Levy models, when payoff streams may have discontinuities and be non-monotone. As applications, we consider exit and entry problems in the theory of real options, and an entry problem with an embedded option to exit
Persistent link: https://www.econbiz.de/10013138430
profit stream under the Knightian uncertainty. Multiple priors are modeled as a "cloud" of diffusion processes with embedded …
Persistent link: https://www.econbiz.de/10013045142
This paper studies a class of optimal multiple stopping problems driven by Levy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real options, where the strike price can potentially grow at a higher...
Persistent link: https://www.econbiz.de/10013034195
profit stream under the Knightian uncertainty. Multiple priors are modeled as a ``cloud" of diffusion processes with embedded …
Persistent link: https://www.econbiz.de/10010944717
landholders under uncertainty about the value of environmental services and irreversible development. We study land conversion … Government to induce adequate participation in a conservation plan. We study the impact of uncertainty on the optimal conversion … of deforestation. Interestingly, we show that uncertainty, even if it induces conversion postponement in the short …
Persistent link: https://www.econbiz.de/10009421254
. Conversion decisions are taken under uncertainty about the value of environmental services by a multitude of landholders … conversion dynamics under different policy scenarios, we show that uncertainty, even if inducing conversion postponement in the …
Persistent link: https://www.econbiz.de/10010833966
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and which have been recognized by them. The capital of the...
Persistent link: https://www.econbiz.de/10008493598