Optimal stopping for dynamic convex risk measures
نویسندگان
چکیده
منابع مشابه
Optimal Stopping for Dynamic Convex Risk Measures
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem in which the decision maker uses a dynamic convex risk measure to evaluate future rewards.
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ژورنال
عنوان ژورنال: Illinois Journal of Mathematics
سال: 2010
ISSN: 0019-2082
DOI: 10.1215/ijm/1336049984