发帖
雷达卡
摘要翻译：
本文研究了具有模糊厌恶决策者的随机优化问题，该决策者对潜在过程的参数不确定。第一部分研究了一维扩散过程在漂移模糊下的最优停止问题。类似于一般一维布朗运动的最优停止问题，我们将问题归结为在双参数函数空间中求奖赏函数最小优的几何问题。在第二部分中，我们解决了当底层进程可能崩溃时的最优停止问题。这些问题归结为一个最优停止问题和一个Dynkin对策。并对实例进行了讨论。
---
英文标题：
《Optimal decision under ambiguity for diffusion processes》
---
作者：
S\"oren Christensen
---
最新提交年份：
2012
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
---
英文摘要：
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift ambiguity for one-dimensional diffusion processes. Analogously to the case of ordinary optimal stopping problems for one-dimensional Brownian motions we reduce the problem to the geometric problem of finding the smallest majorant of the reward function in a two-parameter function space. In a second part we solve optimal stopping problems when the underlying process may crash down. These problems are reduced to one optimal stopping problem and one Dynkin game. Examples are discussed.
---
PDF链接：
https://arxiv.org/pdf/1110.3897
京公网安备 11010802022788号
