Optimal stopping with \(f\)-expectations: the irregular case (Q2301478): Difference between revisions
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Revision as of 12:07, 13 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stopping with \(f\)-expectations: the irregular case |
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Optimal stopping with \(f\)-expectations: the irregular case (English)
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24 February 2020
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reflected backward stochastic differential equation
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non-linear optimal stopping
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\( \mathcal{E}^f\)-Mertens decomposition
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general filtration
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American option
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Tanaka-type formula
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