Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance.

SIAM J. Financial Math.(2023)

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摘要
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.
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关键词
multiperiod optimization problems,sensitivity
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