Denis Bolomestny
Optimal Stopping under Uncertainty and without Time Consistency
Optimal Stopping under Uncertainty and without Time Consistency
In this talk I review recent results on optimal stopping under model uncertainty with respect to a class of probability measures which is not stable under pasting. In particular a new approach based on randomised stopping times will be presented and sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope discussed. This talk is based on joint works with V. Kraetschmer.