The problem of optimal stopping via g-expectations

zbMATH Open1141.60339MaRDI QIDQ5453070FDOQ5453070

Authors: Guoqing Zhao 

Publication date: 4 April 2008

Recommendations

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zbMATH Keywords

backward stochastic differential equationoptimal stopping\(g\)-expectationssnell envelope

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (8)

• Optimal stopping under nonlinear expectation
• Optimal stopping under \(g\)-expectation with constraints
• Extended conditional \(G\)-expectations and related stopping times
• Optimal stopping with \(f\)-expectations: the irregular case
• Optimal stopping under g-Expectation with -integrable reward process
• Optimal stopping for non-linear expectations. I
• Stochastic representation under \(g\)-expectation and applications: the discrete time case
• An optimal stopping problem in the stochastic Gilpin-Ayala population model

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