On optimal stopping and free boundary problems under ambiguity

DOI10.1016/J.SPL.2018.04.005MaRDI QIDQ1643751zbMATH OpenOpenAlexFDO

Authors Kun Zhai, Gaofeng Zong, Guoqing Zhao

Publication date 20 June 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2018.04.005

zbMATH Keywords

\(g\)-expectationambiguityBSDEfree boundary problemoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites work

• Ambiguity, Risk, and Asset Returns in Continuous Time
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• Irreversible investment and Knightian uncertainty
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• Linear and quasilinear elliptic equations
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• Optimal Stopping With Multiple Priors
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Representation of the penalty term of dynamic concave utilities

Cited in

(2)

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• Baxter-Chacon topology and vector-valued optimal stopping problems

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