On optimal stopping and free boundary problems under ambiguity (Q1643751)

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English	On optimal stopping and free boundary problems under ambiguity	scientific article

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scholarly article

On optimal stopping and free boundary problems under ambiguity (English)

Statistics \& Probability Letters

publication date

20 June 2018

zbMATH Keywords

BSDE

\(g\)-expectation

optimal stopping

free boundary problem

ambiguity

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1016/j.spl.2018.04.005

Ambiguity, Risk, and Asset Returns in Continuous Time

Backwards SDE with random terminal time and applications to semilinear elliptic PDE

Representation of the penalty term of dynamic concave utilities

Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Maxmin expected utility with non-unique prior

Generalized RBSDEs with Random Terminal Time and Applications to PDEs

Linear and quasilinear elliptic equations

Irreversible investment and Knightian uncertainty

Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

Optimal Stopping With Multiple Priors

Lenglart domination inequalities for \(g\)-expectations

Identifiers

zbMATH Open document ID

10.1016/j.spl.2018.04.005

Mathematics Subject Classification ID

zbMATH DE Number

Sitelinks

Mathematics(1 entry)

mardi Publication:1643751

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