Optimal stopping under nonlinear expectation
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Publication:404122
DOI10.1016/j.spa.2014.04.006zbMath1325.60061arXiv1209.6601OpenAlexW2962917010MaRDI QIDQ404122
Jianfeng Zhang, Ibrahim Ekren, Nizar Touzi
Publication date: 4 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.6601
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)
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Cites Work
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
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