{
  "id": "1910.04047",
  "version": "v1",
  "published": "2019-10-09T15:10:36.000Z",
  "updated": "2019-10-09T15:10:36.000Z",
  "title": "Risk-averse optimal stopping under ambiguity and partial information",
  "authors": [
    "Randall Martyr",
    "John Moriarty"
  ],
  "comment": "18 pages including references. Keywords: optimal stopping, risk measures, backward stochastic difference equations, martingales",
  "categories": [
    "math.OC",
    "math.PR",
    "q-fin.MF"
  ],
  "abstract": "We obtain structural results for non-Markovian optimal stopping problems in discrete time when the decision maker is risk averse and has partial information about the stochastic sequences generating the costs. Time consistency is ensured in the problem by the aggregation of a sequence of conditional risk mappings, and the framework allows for model ambiguity. A reflected backward stochastic difference equation is used to characterise the value function and optimal stopping times.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2019-10-09T15:10:36.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G40",
      "91B08",
      "91B06",
      "49N30"
    ],
    "keywords": [
      "partial information",
      "risk-averse optimal stopping",
      "conditional risk mappings",
      "reflected backward stochastic difference equation",
      "non-markovian optimal stopping problems"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 18,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}