Optimal stopping under probability distortion
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We develop a new approach, based on a reformulation of the problem w...
| Auteurs principaux: | , |
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| Format: | Journal article |
| Langue: | English |
| Publié: |
2013
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