Representations for optimal stopping under dynamic monetary utility functionals

Volker Krätschmer and John G. M. Schoenmakers

No 2009-055, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

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.

Keywords: monetary utility functionals; optimal stopping; duality; policy iteration (search for similar items in EconPapers)
JEL-codes: C61 C63 G12 G13 (search for similar items in EconPapers)
Date: 2009
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