Risk sensitive optimal stopping

Abstract

In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula for the optimal stopping policy. Next, we show how to link continuous time framework with its discrete time analogue. By considering suitable approximations, we obtain uniform convergence of the corresponding value functions.

References in corpus (5)

• Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
• Impulse control maximising average cost per unit time: a non-uniformly ergodic case
• Long-run risk sensitive impulse control
• Viscosity Solution for Optimal Stopping Problems of Feller Processes
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Cited by in corpus (4)

• Existence of bounded solutions to multiplicative Poisson equations under mixing property
• Risk-sensitive optimal stopping with unbounded terminal cost function
• Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times
• Asymptotics of impulse control problem with multiplicative reward