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On optimal stopping and free boundary problems under ambiguity

Author

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  • Zhao, Guoqing
  • Zhai, Kun
  • Zong, Gaofeng

Abstract

This paper considers verification theorems for optimal stopping under ambiguity for diffusion processes via connecting with free boundary problems in infinite time horizon.

Suggested Citation

  • Zhao, Guoqing & Zhai, Kun & Zong, Gaofeng, 2018. "On optimal stopping and free boundary problems under ambiguity," Statistics & Probability Letters, Elsevier, vol. 139(C), pages 129-134.
    • Handle: RePEc:eee:stapro:v:139:y:2018:i:c:p:129-134
    DOI: 10.1016/j.spl.2018.04.005
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    References listed on IDEAS

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    1. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    2. Frank Riedel, 2009. "Optimal Stopping With Multiple Priors," Econometrica, Econometric Society, vol. 77(3), pages 857-908, May.
    3. Nishimura, Kiyohiko G. & Ozaki, Hiroyuki, 2007. "Irreversible investment and Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 136(1), pages 668-694, September.
    4. Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2010. "Representation of the penalty term of dynamic concave utilities," Finance and Stochastics, Springer, vol. 14(3), pages 449-472, September.
    5. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
    6. Zhao, Guoqing, 2009. "Lenglart domination inequalities for g-expectations," Statistics & Probability Letters, Elsevier, vol. 79(22), pages 2338-2342, November.
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