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Representations for optimal stopping under dynamic monetary utility functionals

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  • Volker Krätschmer
  • John Schoenmakers
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    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 provided. Particular attention is payed to representations which allow for a numerical treatment in real situations. To this aim, generalizations of standard evaluation methods like policy iteration, dual and consumption based approaches are developed in the context of general dynamic monetary utility functionals. As a result, it turns out that the possibility of a particular generalization depends on specific properties of the utility functional under consideration.

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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2009-055.pdf
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    Bibliographic Info

    Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2009-055.

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    Length: 26 pages
    Date of creation: Nov 2009
    Date of revision:
    Handle: RePEc:hum:wpaper:sfb649dp2009-055

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    Keywords: monetary utility functionals; optimal stopping; duality; policy iteration;

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