Sensitivity of multiperiod optimization problems in adapted Wasserstein distance

Daniel Bartl and Johannes Wiesel

Papers from arXiv.org

Abstract: We analyze the effect of small changes in the underlying probabilistic model on the value of multi-period stochastic optimization problems and optimal stopping problems. We work in finite discrete time and measure these changes with the adapted Wasserstein distance. We prove explicit first-order approximations for both problems. Expected utility maximization is discussed as a special case.

Date: 2022-08, Revised 2023-06
New Economics Papers: this item is included in nep-upt
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