Optimal stopping with random maturity under nonlinear expectations (Q2360243)
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scientific article
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| English | Optimal stopping with random maturity under nonlinear expectations |
scientific article |
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Optimal stopping with random maturity under nonlinear expectations (English)
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30 June 2017
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discretionary stopping
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random maturity
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controls in weak formulation
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optimal stopping
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nonlinear expectation
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weak stability under pasting
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Lipschitz continuous stopping time
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dynamic programming principle
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martingale approach
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0.8423665761947632
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0.8417055606842041
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0.8259342908859253
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0.8188186883926392
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0.8137428164482117
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