On the Robust Optimal Stopping Problem

DOI10.1137/130950331zbMath1310.60040arXiv1301.0091OpenAlexW3122653308MaRDI QIDQ5173275

Song Yao, Erhan Bayraktar

Publication date: 9 February 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.0091

zbMATH Keywords

zero-sum gameweak stabilityvolatility uncertaintynonlinear expectationdynamic programming principleSnell envelopepath-dependent stochastic differential equationsrobust optimal stopping

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15)

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