{
  "id": "2001.06895",
  "version": "v1",
  "published": "2020-01-19T20:14:31.000Z",
  "updated": "2020-01-19T20:14:31.000Z",
  "title": "Markov risk mappings and risk-averse optimal stopping under ambiguity",
  "authors": [
    "Randall Martyr",
    "John Moriarty"
  ],
  "comment": "23 pages",
  "categories": [
    "math.OC",
    "math.PR",
    "q-fin.MF"
  ],
  "abstract": "We aim to analyse a Markovian discrete-time optimal stopping problem for a risk-averse decision maker under model ambiguity. In contrast to the analytic approach based on transition risk mappings, a probabilistic setting is introduced based on novel concepts of regular conditional risk mapping and Markov update rule. To accommodate model ambiguity we introduce appropriate notions of history-consistent updating and of transition consistency for risk mappings on nested probability spaces.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-01-19T20:14:31.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G40",
      "91B08",
      "91B06",
      "90C40"
    ],
    "keywords": [
      "markov risk mappings",
      "risk-averse optimal stopping",
      "markovian discrete-time optimal stopping problem",
      "accommodate model ambiguity",
      "regular conditional risk"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 23,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}