Optimal stopping under model uncertainty and the regularity of lower Snell envelopes

Quantitative Finance ◽

10.1080/14697688.2010.488653 ◽

2012 ◽

Vol 12 (6) ◽

pp. 865-871 ◽

Author(s):

Treviño-Aguilar Erick

Keyword(s):

Optimal Stopping ◽

Model Uncertainty

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Evaluating Optimal Stopping Problems Under Multivariate Settings and Model Uncertainty

SSRN Electronic Journal ◽

10.2139/ssrn.3549891 ◽

2020 ◽

Author(s):

Ankush Agarwal ◽

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Optimal Stopping ◽

Model Uncertainty ◽

Optimal Stopping Problems

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Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty

Brazilian Journal of Probability and Statistics ◽

10.1214/16-bjps309 ◽

2017 ◽

Vol 31 (1) ◽

pp. 194-213

Author(s):

Erick Treviño Aguilar

Keyword(s):

Optimal Stopping ◽

Model Uncertainty ◽

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Addendum to “Optimal stopping under model uncertainty: Randomized stopping times approach”

The Annals of Applied Probability ◽

10.1214/16-aap1226 ◽

2017 ◽

Vol 27 (2) ◽

pp. 1289-1293 ◽

Author(s):

Denis Belomestny ◽

Volker Krätschmer

Keyword(s):

Optimal Stopping ◽

Model Uncertainty ◽

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Optimal stopping under model uncertainty: Randomized stopping times approach

The Annals of Applied Probability ◽

10.1214/15-aap1116 ◽

2016 ◽

Vol 26 (2) ◽

pp. 1260-1295 ◽

Author(s):

Denis Belomestny ◽

Volker Krätschmer

Keyword(s):

Optimal Stopping ◽

Model Uncertainty ◽

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Optimal Stopping with Model Uncertainty and Pricing the American Option

2009 International Conference on Business Intelligence and Financial Engineering ◽

10.1109/bife.2009.82 ◽

2009 ◽

Author(s):

Guoqing Zhao

Keyword(s):

Optimal Stopping ◽

Model Uncertainty ◽

American Option

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The use of Identified Model Uncertainty in Control Design for the ASTREX Structure

1993 American Control Conference ◽

10.23919/acc.1993.4793457 ◽

1993 ◽

Author(s):

Henk Aling ◽

Robert L. Kosut

Keyword(s):

Model Uncertainty ◽

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Optimal Deployment of Drifting Acoustic Sensors: Sensitivity of Lagrangian Coherent Structure Boundaries to Model Uncertainty

10.21236/ada573214 ◽

2007 ◽

Author(s):

A. C. Poje

Keyword(s):

Coherent Structure ◽

Model Uncertainty ◽

Acoustic Sensors ◽

Lagrangian Coherent Structure ◽

Optimal Deployment

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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

The Journal of Risk ◽

10.21314/jor.2007.154 ◽

2007 ◽

Vol 10 (1) ◽

pp. 85-100 ◽

Author(s):

Farid AitSahlia ◽

Andreas Runnemo

Keyword(s):

Diffusion Model ◽

Optimal Stopping ◽

American Options ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Double Exponential ◽

Jump Diffusion Model

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Regulatory Modeling for the Idaho National Engineering and Environmental Laboratory's Subsurface Disposal Area and Conceptual Model Uncertainty Treatment

Vadose Zone Journal ◽

10.2136/vzj2004.0059 ◽

2004 ◽

Vol 3 (1) ◽

pp. 59

Author(s):

Swen Magnuson

Keyword(s):

Conceptual Model ◽

Model Uncertainty ◽

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Portfolio Choice Implications of Parameter and Model Uncertainty in Factor Models

SSRN Electronic Journal ◽

10.2139/ssrn.1102854 ◽

2008 ◽

Author(s):

Deniz Kebabci

Keyword(s):

Portfolio Choice ◽

Model Uncertainty ◽

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