Optimal stopping under g-expectation with constraints

DOI10.1016/J.ORL.2012.12.009zbMATH Open1279.60054OpenAlexW1970138860MaRDI QIDQ1949682FDOQ1949682

Authors: Helin Wu 

Publication date: 14 May 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.12.009

Recommendations

• The problem of optimal stopping via \(g\)-expectations
• Optimal stopping under g-Expectation with -integrable reward process
• scientific article; zbMATH DE number 3896138
• Optimal stopping for non-linear expectations. I
• Optimal multiple stopping problems under \(g\)-expectation

zbMATH Keywords

reward processmartingale methodreflected BSDEconstrained optimal stopping problem\(g_{\Gamma}\)-expectation

Mathematics Subject Classification ID

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

Cited In (7)

• HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING
• A verification theorem for optimal stopping problems with expectation constraints
• Title not available (Why is that?)
• Optimal stopping under g-Expectation with -integrable reward process
• Dynamic programming approach to reflected backward stochastic differential equations
• Stochastic representation under \(g\)-expectation and applications: the discrete time case
• The problem of optimal stopping via \(g\)-expectations

This page was built for publication: Optimal stopping under \(g\)-expectation with constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1949682)