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

DOI10.1214/20-ECP328zbMATH Open1471.60056OpenAlexW3042637871MaRDI QIDQ2201525FDOQ2201525

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

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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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Cited In (7)

• Title not available (Why is that?)
• Optimal stopping with \(f\)-expectations: the irregular case
• American options in a non-linear incomplete market model with default
• Optimal stopping: Bermudan strategies meet non-linear evaluations
• Optimal stopping for non-linear expectations. II
• Title not available (Why is that?)
• On undiscounted non-linear optimal multiple stopping

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