Optimal stopping for non-linear expectations Part - II

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:121

Article

Bayraktar, Erhan¹  Yao, Song¹ 

[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA

关键词: Non-linear expectations;    Optimal stopping;    Snell envelope;    Stability;    g-expectations;   

DOI  :  10.1016/j.spa.2010.10.002

来源: Elsevier

【 摘 要 】

Relying on the stochastic analysis tools developed in Bayraktar and Yao (2011) [1], we solve the optimal stopping problems for non-linear expectations. (c) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

Free