一类具不确定性的可解多维停止问题
A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty
摘要：
我们调查的最优时机的模糊厌恶决策者的最优时机政策的影响，在这种情况下，潜在的因素动态遵循多维布朗运动和运动的回报取决于一个线性组合的因素或驱动因素动态的径向部分。我们提出了一个一般的最佳时机的政策和最坏情况下的措施，在一个家庭的明确确定的过分函数产生一个适当的类上鞅的价值的表征。在与以前的研究结果的基础上线性扩散，我们发现，模糊性加速时间与明确的设置。有些令人惊讶的是，我们发现，模糊性可能会导致平稳的模型，通常不具有平稳的行为。通过这种方式，我们的研究结果表明，歧义可能会作为一种稳定机制。
英文摘要：
We investigate the impact of Knightian uncertainty on the optimal timing policy of an ambiguity averse decision maker in the case where the underlying factor dynamics follow a multidimensional Brownian motion and the exercise payoff depends on either a linear combination of the factors or the radial part of the driving factor dynamics. We present a general characterization of the value of the optimal timing policy and the worst case measure in terms of a family of an explicitly identified excessive functions generating an appropriate class of supermartingales. In line with previous findings based on linear diffusions, we find that ambiguity accelerates timing in comparison with the unambiguous setting. Somewhat surprisingly, we find that ambiguity may result into stationarity in models which typically do not possess stationary behavior. In this way, our results indicate that ambiguity may act as a stabilizing mechanism.
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