Optimal Stopping Rule meets Ambiguity
Chen Zengjing, Tian Weidong, Zhao Guo-qing · IOS Press eBooks · 2013
This chapter is a survey to the recent developments on problems of optimal stopping under ambiguity. This chapter develops a theory of optimal stopping under ambiguity in a fairly general framework. The characterization of the value process and the optimal stopping rule are presented. Moreover, the value function is leaded to a free boundary problem in a Markov setting.