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Risk sensitive optimal stopping

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  • Jelito, Damian
  • Pitera, Marcin
  • Stettner, Łukasz

Abstract

In this paper we consider continuous time risk sensitive optimal stopping problem. Using the probabilistic approach and dyadic discrete time approximations we prove continuity of the generic optimal stopping value function for a large class of Feller-Markov processes. Also, we provide formulas for the corresponding optimal stopping policies and study regularity of approximating functions.

Suggested Citation

  • Jelito, Damian & Pitera, Marcin & Stettner, Łukasz, 2021. "Risk sensitive optimal stopping," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 125-144.
    • Handle: RePEc:eee:spapps:v:136:y:2021:i:c:p:125-144
    DOI: 10.1016/j.spa.2021.03.005
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    References listed on IDEAS

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    1. Damian Jelito & Marcin Pitera & {L}ukasz Stettner, 2019. "Long-run risk sensitive impulse control," Papers 1912.02488, arXiv.org, revised Apr 2020.
    2. Marcin Pitera & {L}ukasz Stettner, 2019. "Long-run risk sensitive dyadic impulse control," Papers 1906.06389, arXiv.org.
    3. Ibtissam Hdhiri & Monia Karouf, 2011. "Risk sensitive impulse control of non-Markovian processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(1), pages 1-20, August.
    4. René Carmona & Nizar Touzi, 2008. "Optimal Multiple Stopping And Valuation Of Swing Options," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 239-268, April.
    5. Arapostathis, Ari & Biswas, Anup, 2018. "Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions," Stochastic Processes and their Applications, Elsevier, vol. 128(5), pages 1485-1524.
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    Cited by:

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