Representations for Optimal Stopping under Dynamic Monetary Utility Functionals
Work
Year: 2010
Type: article
Abstract: In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are... more
Authors Volker Krätschmer, John Schoenmakers
Cites: 36
Cited by: 19
Related to: 10
FWCI: 0.818
Citation percentile (by year/subfield): 93.84
Subfield: Finance
Domain: Social Sciences
Open Access status: green