Huang, Yu‐Jui- Optimal stopping under model ambiguity_ A time‐consistent eq ...

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Received: 11 October 2019  Accepted: 28 March 2021
DOI: 10.1111/mafi.12312

ORIGINAL ARTICLE


Optimal stopping under model ambiguity: A
time-consistent equilibrium approach
Yu-Jui Huang1            Xiang Yu2
1Department of Applied Mathematics,
University of Colorado, Boulder,            Abstract
Colorado, USA                     An unconventional approach for optimal stopping
2Department of Applied Mathematics,          under model ambiguity is introduced. Besides ambigu-
The Hong Kong Polytech ...

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关键词：consistent ambiguity Stopping optimal Optima