Illinois Journal of Mathematics

Optimal stopping for dynamic convex risk measures

Erhan Bayraktar, Ioannis Karatzas, and Song Yao

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We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an equivalent zero-sum game of control and stopping, between an agent (the “stopper”) who chooses the termination time of the game, and an agent (the “controller,” or “nature”) who selects the probability measure.

Article information

Illinois J. Math. Volume 54, Number 3 (2010), 1025-1067.

First available in Project Euclid: 3 May 2012

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Zentralblatt MATH identifier

Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 60H30: Applications of stochastic analysis (to PDE, etc.) 91A15: Stochastic games


Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song. Optimal stopping for dynamic convex risk measures. Illinois J. Math. 54 (2010), no. 3, 1025--1067.

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