On the strict value of the non-linear optimal stopping problem

DOI10.1214/20-ECP328MaRDI QIDQ2201525zbMATH OpenOpenAlexFDO

Authors Miryana Grigorova, P. Imkeller, Youssef Ouknine, Marie-Claire Quenez

Publication date 29 September 2020

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ecp/1595037888

zbMATH Keywords

optimal stoppinggeneral filtrationnon-linear expectationirregular payoffstrict value processstrong \(\mathcal{E}^f \)-supermartingale

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) General theory of stochastic processes (60G07)

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Cites work

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• A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
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• Optimal stopping for dynamic convex risk measures
• Optimal stopping for non-linear expectations. I
• Optimal stopping time problem in a general framework
• Optimal stopping under adverse nonlinear expectation and related games
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Cited in

(7)

• Optimal stopping with \(f\)-expectations: the irregular case
• Optimal stopping for non-linear expectations. II
• scientific article; zbMATH DE number 7596554 (Why is no real title available?)
• On undiscounted non-linear optimal multiple stopping
• American options in a non-linear incomplete market model with default
• Optimal stopping: Bermudan strategies meet non-linear evaluations
• scientific article; zbMATH DE number 1983453 (Why is no real title available?)

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