The problem of optimal stopping via g-expectations

MaRDI QIDQ5453070zbMATH OpenFDO

Authors Guoqing Zhao

Publication date 4 April 2008

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)

Recommendations

• Optimal stopping under \(g\)-expectation with constraints
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Cited in

(8)

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

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