Uncertainty and Probability Optimal Stopping

Optimal Stopping with Multiple Priors: Discrete Time

We choose the following modeling approach

LetX 0 ,X 1 ,...,XTbe a (finite) sequence of random variables

adapted to a filtration (Ft)

on a measurable space (Ω,F),

letPbe a set of probability measures

choose a stopping timeτ≤T

that maximizes

inf

P∈P

EPXτ