Optimal stopping with dynamic variational preferences
We solve optimal stopping problems in uncertain environments for agents assessing utility by virtue of dynamic variational preferences as in Maccheroni, Marinacci and Rustichini (2006)  or, equivalently, assessing risk in terms of dynamic convex risk measures as in Cheridito, Delbaen and Kupper (2006) . The solution is achieved by generalizing the approach in Riedel (2009)  introducing the concept of variational supermartingales and variational Snell envelopes with an accompanying theory. To illustrate results, we consider prominent examples: dynamic multiplier preferences and a dynamic version of generalized average value at risk introduced in Cheridito and Tianhui (2009) .
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- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006.
"Dynamic Variational Preferences,"
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Carlo Alberto Notebooks
12, Collegio Carlo Alberto, revised 2006.
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03004, Stanford University, Department of Economics.
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- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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