Financial/Actuarial Mathematics Seminar

Dec 3, 2009



Optimal Stopping for Dynamic Convex Risk Measures.

Song Yao

Department of Mathematics, University of Michigan

December 3, 2009


Abstract

We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem in which the decision maker uses a dynamic convex risk measure to evaluate future rewards.
Joint work with Erhan Bayraktar and Ioannis Karatzas.

Back to the schedule