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Найдены 4 публикации
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Статья
Belomestny D., Kraetschmer V. Annals of Applied Probability. 2017. Vol. 2. No. 27. P. 1289-1293.
Добавлено: 22 сентября 2017
Статья
Borodin A., Bufetov A., Olshanski G. Annals of Applied Probability. 2015. Vol. 25. No. 4. P. 2339-2381.

 

 

Добавлено: 3 сентября 2015
Статья
Belomestny D., Krätschmer V. Annals of Applied Probability. 2016. Vol. 26. No. 2. P. 1260-1295.

ρφ t (X) = sup Q∈Qt (EQ[-X|Ft] - Q∈[φ dQ/dP/Ft]) , where φ : [0,∞[→[0,∞] is a lower semicontinuous convex mapping and Qt stands for the set of all probability measures Q which are absolutely continuous w.r.t. a given measure P and Q = P on Ft . Here, the model uncertainty risk depends on a (random) divergence E[φ(dQ/dP )|Ft ] measuring the distance between a hypothetical probability measure we are uncertain about and a reference one at time t. Let (Yt )t∈[0,T ] be an adapted nonnegative, right-continuous stochastic process fulfilling some proper integrability condition and let T be the set of stopping times on [0,T ]; then without assuming any kind of time-consistency for the family (ρtφ ), we derive a novel representation sup τ∈T ρφ 0 (-Yτ ) = inf x∈R {sup τ∈T E[φ∗ (x + Yτ )- x, which makes the application of the standard dynamic programming based approaches possible. In particular, we generalize the additive dual representation of Rogers [Math. Finance 12 (2002) 271-286] to the case of optimal stopping under uncertainty. Finally, we develop several Monte Carlo algorithms and illustrate their power for optimal stopping under Average Value at Risk. © Institute of Mathematical Statistics, 2016.

Добавлено: 2 июня 2016
Статья
Suvorikova A., Spokoiny V., Kroshnin A. Annals of Applied Probability. 2020.
Добавлено: 30 октября 2020