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Sensitivity of multiperiod optimization problems in adapted Wasserstein distance

arXiv 2208.05656 ↗First posted 11 Aug 2022math.OC math.PR q-fin.MFcited by 1

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Abstract (arXiv)

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.

Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). First posted on arXiv 11 Aug 2022.

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