2000 character limit reached
Sensitivity of multiperiod optimization problems in adapted Wasserstein distance (2208.05656v2)
Published 11 Aug 2022 in math.OC, math.PR, and q-fin.MF
Abstract: We analyze the effect of small changes in the underlying probabilistic model on the value of multi-period stochastic optimization problems and optimal stopping problems. We work in finite discrete time and measure these changes with the adapted Wasserstein distance. We prove explicit first-order approximations for both problems. Expected utility maximization is discussed as a special case.
Collections
Sign up for free to add this paper to one or more collections.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.