EconPapers    
Economics at your fingertips  
 

Optimal stopping with dynamic variational preferences

Engelage Daniel

Journal of Economic Theory, 2011, vol. 146, issue 5, 2042-2074

Abstract: 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) [16] or, equivalently, assessing risk in terms of dynamic convex risk measures as in Cheridito, Delbaen and Kupper (2006) [4]. The solution is achieved by generalizing the approach in Riedel (2009) [21] 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) [5].

Keywords: Optimal; stopping; Uncertainty; aversion; Dynamic; variational; preferences; Dynamic; convex; risk; measures; Dynamic; penalty; Time; consistency; Multiplier; preferences; Entropic; risk; Average; value; at; risk (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0022053111000986
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:146:y:2011:i:5:p:2042-2074

Access Statistics for this article

Journal of Economic Theory is currently edited by A. Lizzeri and K. Shell

More articles in Journal of Economic Theory from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-09-29
Handle: RePEc:eee:jetheo:v:146:y:2011:i:5:p:2042-2074