Optimal stopping under adverse nonlinear expectation and related games

DOI10.1214/14-AAP1054zbMath1322.60047arXiv1212.2140MaRDI QIDQ748312

Marcel Nutz, Jianfeng Zhang

Publication date: 20 October 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.2140

zbMATH Keywords

optimal stoppingsaddle point\(G\)-expectationnonlinear expectationcontroller-and-stopper game

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

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