Optimal stopping with dynamic variational preferences

• 成果类型: Article
• 署名作者: Engelage, Daniel
• 署名单位: University of Bonn
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.06.014
• 发表日期: 2011
• 页码: 2042-2074
• 关键词: Optimal stopping; Uncertainty aversion; Dynamic variational preferences; Dynamic convex risk measures; Dynamic penalty; time consistency; Multiplier preferences; Entropic risk; Average value at risk

摘要

We solve optimal stopping problems in uncertain environments for agents assessing utility by virtue of dynamic variational preferences as in Maccheroni, Marinacci and Rustichini (2006) [16] or, equivalently, assessing risk in terms of dynamic convex risk measures as in Cheridito, Delbaen and Kupper (2006) [4]. The solution is achieved by generalizing the approach in Riedel (2009) [21] introducing the concept of variational supemiartingales and variational Snell envelopes with an accompanying theory. To illustrate results, we consider prominent examples: dynamic multiplier preferences and a dynamic version of generalized average value at risk introduced in Cheridito and Tianhui (2009) [5]. (C) 2011 Elsevier Inc. All rights reserved.