naa a22 4500 510808379 CHVBK 20180411083429.0 cr unu---uuuuu 180411e20130101xx s 000 0 eng 10.1007/s11579-012-0081-6 doi (NATIONALLICENCE)springer-10.1007/s11579-012-0081-6 Optimal stopping under ambiguity in continuous time [Elektronische Daten] [Xue Cheng, Frank Riedel] We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted Hamilton-Jacobi-Bellman equation involving a nonlinear drift term that stems from the agent's ambiguity aversion. We show how to use these general results for search problems and American options. Springer-Verlag, 2012 Optimal stopping nationallicence Ambiguity nationallicence Uncertainty aversion nationallicence Robustness nationallicence Continuous-time nationallicence Optimal control nationallicence Cheng Xue Department of Financial Mathematics, Peking University, Beijing, China aut Riedel Frank Institute of Mathematical Economics, Bielefeld University, Bielefeld, Germany aut Mathematics and Financial Economics Springer-Verlag 7/1(2013-01-01), 29-68 1862-9679 7:1<29 2013 7 11579 https://doi.org/10.1007/s11579-012-0081-6 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-012-0081-6 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Cheng Xue Department of Financial Mathematics, Peking University, Beijing, China aut NATIONALLICENCE 700 1- Riedel Frank Institute of Mathematical Economics, Bielefeld University, Bielefeld, Germany aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer-Verlag 7/1(2013-01-01), 29-68 1862-9679 7:1<29 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer