On optimal stopping and free boundary problems under ambiguity

DOI10.1016/J.SPL.2018.04.005zbMATH Open1391.60088OpenAlexW2799928454MaRDI QIDQ1643751FDOQ1643751

Gaofeng Zong, Kun Zhai, 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

ambiguityfree boundary problemoptimal stopping\(g\)-expectationBSDE

Mathematics Subject Classification ID

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

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• Lenglart domination inequalities for \(g\)-expectations

Cited In (2)

• Title not available (Why is that?)
• Baxter-Chacon topology and vector-valued optimal stopping problems

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