Optimal Stopping With Multiple Priors

192 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Risk, Uncertainty, and Option Exercise (2011, unknown): “Our paper is also related to Riedel (2009).”
Optimal stopping under ambiguity in continuous time (2013, methodology): “At the same time, we extend the discrete–time result of Riedel (2009) to continuous time.”
Optimal stopping under probability distortion. (2011, background): “In [18] and [22], the authors study optimal stopping problems under Knightian uncertainty (or ambiguity), involving essentially a different type of nonlinear expectation in their payoff functionals.”
Optimal arbitrage under model uncertainty. (2011, background): “…them Gilboa and Schmeidler (1989), Gundel (2005), Shied and Wu (2005), Karatzas and Zamfirescu (2005), Föllmer and Gundel (2006), Schied (2007), Riedel (2009), Bayraktar and Yao (2011), Bayraktar, Karatzas and Yao (2011) and Kardaras and Robertson (2011) [see also the survey by Föllmer,…”
Optimal stopping under adverse nonlinear expectation and related games (2012, background): “For the case where P is dominated, the problem of optimal stopping under nonlinear expectation (and related risk measures) is fairly well studied; see, in particular, [3, 5, 6, 11, 13, 17, 18, 30].”
Financial markets with volatility uncertainty (2010, background): “Thus, a G–martingale is a multiple prior martingale as considered in Riedel (2009).”