Optimal stopping with \(f\)-expectations: the irregular case (Q2301478): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2559079138 / rank | |||
Normal rank | |||
Revision as of 02:09, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stopping with \(f\)-expectations: the irregular case |
scientific article |
Statements
Optimal stopping with \(f\)-expectations: the irregular case (English)
0 references
24 February 2020
0 references
reflected backward stochastic differential equation
0 references
non-linear optimal stopping
0 references
\( \mathcal{E}^f\)-Mertens decomposition
0 references
general filtration
0 references
American option
0 references
Tanaka-type formula
0 references
