Optimal stopping with nonlinear expectation: geometric and algorithmic solutions

DOI10.1214/25-AAP2195MaRDI QIDQ6907641zbMATH OpenFDO

Authors Tomasz Kosmala, John Moriarty

Publication date 1 November 2025

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

Full work available at URL https://doi.org/10.1214/25-AAP2195

zbMATH Keywords

algorithmMarkov propertynonlinear expectationoptimal stoppingrisk measure

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on general state spaces (60J25) Probabilistic models, generic numerical methods in probability and statistics (65C20) Risk models (general) (91B05)

Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• Ambiguity, Risk, and Asset Returns in Continuous Time
• An algorithm to solve optimal stopping problems for one-dimensional diffusions
• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
• Basics of Applied Stochastic Processes
• Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
• Dynamic monetary risk measures for bounded discrete-time processes
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 1057570 (Why is no real title available?)
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 3295850 (Why is no real title available?)
• scientific article; zbMATH DE number 3383344 (Why is no real title available?)
• Linear Programming Formulation for Optimal Stopping Problems
• Markov risk mappings and risk-sensitive optimal prediction
• Martingale approach to stochastic differential games of control and stopping
• Modeling, measuring and managing risk
• On optimal stopping of multidimensional diffusions
• On the optimal stopping problem for one-dimensional diffusions.
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Optimal decision under ambiguity for diffusion processes
• Optimal stopping for non-linear expectations. I
• Optimal stopping for non-linear expectations. II
• Optimal stopping under adverse nonlinear expectation and related games
• Optimal stopping under ambiguity in continuous time
• Preference robust distortion risk measure and its application
• Pricing, hedging, and designing derivatives with risk measures
• Prospect Theory: An Analysis of Decision under Risk
• Radon-Nikodym theorem in L^
• Real mathematical analysis
• Representation of the penalty term of dynamic concave utilities
• Representation results for law invariant time consistent functions
• Risk sensitive optimal stopping
• Stochastic finance. An introduction in discrete time.
• Superhedging and dynamic risk measures under volatility uncertainty
• Time consistent dynamic risk processes

This page was built for publication: Optimal stopping with nonlinear expectation: geometric and algorithmic solutions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6907641)