Risk sensitive optimal stopping

Damian Jelito, Marcin Pitera and Łukasz Stettner

Stochastic Processes and their Applications, 2021, vol. 136, issue C, 125-144

Abstract: In this paper we consider continuous time risk sensitive optimal stopping problem. Using the probabilistic approach and dyadic discrete time approximations we prove continuity of the generic optimal stopping value function for a large class of Feller-Markov processes. Also, we provide formulas for the corresponding optimal stopping policies and study regularity of approximating functions.

Keywords: Optimal stopping; Bellman equation; Risk sensitive control; Risk sensitive criterion; Impulse control (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2021.03.005

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