Optimal stopping with nonlinear expectation: geometric and algorithmic solutions
File(s)
Accepted version
Author(s)
Kosmala, Tomasz
Moriarty, John
Type
Journal Article
Abstract
We use the geometry of suitably generalised potentials to solve risk-sensitive Markovian optimal stopping problems. As in the linear case due to Dynkin and Yushkievich (1967), the value function is the pointwise infimum of those functions which dominate the gain function. An emphasis is placed on geometric and pathwise arguments, rather than exploiting convexity, positive homogeneity or related analytical properties. An algorithm is provided to construct the value function at the computational cost of a two-dimensional search.
Date Issued
2025-10-01
Date Acceptance
2025-05-01
Citation
The Annals of Applied Probability, 2025, 35 (5), pp.3310-3333
ISSN
1050-5164
Publisher
Institute of Mathematical Statistics
Start Page
3310
End Page
3333
Journal / Book Title
The Annals of Applied Probability
Volume
35
Issue
5
Copyright Statement
Copyright © 2025 Institute of Mathematical Statistics. This is the author’s accepted manuscript made available under a CC-BY licence in accordance with Imperial’s Research Publications Open Access policy (www.imperial.ac.uk/oa-policy)
License URL
Publication Status
Published
Date Publish Online
2025-10-01