Risk sensitive optimal stopping

Jelito, D; Pitera, M; Stettner, L

Jelito, D (corresponding author), Jagiellonian Univ, Inst Math, Krakow, Poland.

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2021; 136 (): 125

Abstract

In this paper we consider continuous time risk sensitive optimal stopping problem. Using the probabilistic approach and dyadic discrete time approxima......

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