Optimal stopping with random maturity under nonlinear expectations

DOI10.1016/j.spa.2016.12.001zbMath1373.60078arXiv1505.07533OpenAlexW3122503459MaRDI QIDQ2360243

Erhan Bayraktar, Song Yao

Publication date: 30 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.07533

zbMATH Keywords

optimal stoppingmartingale approachnonlinear expectationdynamic programming principlediscretionary stoppingcontrols in weak formulationLipschitz continuous stopping timerandom maturityweak stability under pasting

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (5)

Solving optimal stopping problems under model uncertainty via empirical dual optimisation ⋮ Optimal stopping under model ambiguity: A time‐consistent equilibrium approach ⋮ Optimal stopping with expectation constraints ⋮ Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity

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