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Optimal Stopping under Probability Distortion
optimal stopping probability distortion Choquet expectation probability distribution/qunatile function Skorokhod embedding problem S-shaped and reverse S-shaped function
2011/3/31
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. ...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
expected profit cost yields investment under uncertainty
2010/10/18
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
optimal stopping simulation based algorithms entropy with bracketing increments of empirical processes
2010/11/2
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of qu...
Regularity of the Optimal Stopping Problem for Levy Processes with Non-Degenerate Diffusions
Regularity Levy Processes Non-Degenerate Diffusions
2010/10/29
The value function of an optimal stopping problem for a process with L´evy jumps is known to be a generalized solution of a variational inequality. Assuming the diffusion component of the proces...