scientific article; zbMATH DE number 3586268

MaRDI QIDQ4153409zbMATH OpenFDO

Authors M. A. Maingueneau

Publication date 1978

Full work available at URL http://www.numdam.org/item?id=SPS_1978__12__457_0, https://eudml.org/doc/113167

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Cited in

(19)

• Optimal stopping and a martingale approach to the penalty method
• Non-linear Dynkin games over split stopping times
• Doubly reflected backward stochastic differential equations in the predictable setting
• A note on optional Snell envelopes and reflected backward SDEs
• Optimal stopping with f-expectations: the irregular case
• Three essays on exponential hedging with variable exit times
• Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing
• Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
• Reflected and doubly reflected BSDEs driven by RCLL martingales
• Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle
• Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
• Optimal stopping in predictable setting
• Optimal multiple stopping time problem
• Reflections on BSDEs
• Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
• Optimal control over split stopping times in defaultable settings and reflected BSDEs with irregular obstacles
• Optimal stopping and optimal multiple stopping problem without aggregation of reward family
• Backward stochastic differential equations driven by optional semimartingales with conditional reflecting and regulated barrier
• Optimal stopping under model uncertainty in a general setting

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