On optimal stopping and free boundary problems under ambiguity

DOI10.1016/j.spl.2018.04.005zbMath1391.60088OpenAlexW2799928454MaRDI QIDQ1643751

Gaofeng Zong, Kun Zhai, Guo-Qing 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

free boundary problemoptimal stopping\(g\)-expectationambiguityBSDE

Mathematics Subject Classification ID

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

Cites Work

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• Representation of the penalty term of dynamic concave utilities
• Lenglart domination inequalities for \(g\)-expectations
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• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Irreversible investment and Knightian uncertainty
• Linear and quasilinear elliptic equations
• Generalized RBSDEs with Random Terminal Time and Applications to PDEs
• Optimal Stopping With Multiple Priors
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Ambiguity, Risk, and Asset Returns in Continuous Time

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