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Optimal Stopping Under Ambiguity
Social Science Research Network
We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super)martingales, provide a Doob-Meyer decomposition, and characterize minimax martingales. This allows us to extend the standarddoi:10.2139/ssrn.1013276 fatcat:2dngxujdpbd3zdph3537ewksku