To view Mr. Nehls’s defense, enter his Online chatroom via Collaborative Ultra— it will open one hour prior to the event at 11:00 am on Monday, June 29th.
Mr. Samuel Nehls
University of Wisconsin-Milwaukee
Dissertator
In order to study model uncertainty of an optimal stopping problem of a stochastic process with a given state dependent drift rate and volatility, we analyze the effects of perturbing the parameters of the problem. This is accomplished by translating the original problem into a semi-infinite linear program and its dual. We then approximate this dual linear program by a countably constrained sub-linear program as well as an infinite sequence of finitely constrained linear programs. We find that under sufficient conditions the value function will be lower semi-continuous with respect to the parameters. If in addition we restrict ourselves to a compact set of constraints, we have full continuity of the value function.
Committee Members:
Profs. Vytaras Brazauskas, Istvan Lauko, Richard Stockbridge, Wei Wei and Chao Zhu.