Optimal stopping for dynamic convex risk measures

zbMath1259.60042arXiv0909.4948MaRDI QIDQ1928868

Erhan Bayraktar, Song Yao, Ioannis Karatzas

Publication date: 4 January 2013

Published in: Illinois Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.4948

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

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