most citedGeneralizing the Generalized Likelihood Ratio Method Through a Push-Out Leibniz Integration Approach

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eess.SY2025

On Structural Properties of Risk-Averse Optimal Stopping Problems

Xingyu Ren, Michael C. Fu, Steven I. Marcus

We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of…