Representations for optimal stopping under dynamic monetary utility functionals
- Krätschmer, Volker
- Schoenmakers, John G. M.
2010 Mathematics Subject Classification
- 49L20 60G40 91B16
- monetary utility functionals, optimal stopping, duality, policy iteration
In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical treatment in real situations. To this aim, generalizations of standard evaluation methods like policy iteration, dual and consumption based approaches are developed in the context of general dynamic monetary utility functionals. As a result, it turns out that the possibility of a particular generalization depends on specific properties of the utility functional under consideration.
- SIAM J. Financial Math., 1 (2010) pp. 811--832.