Optimal stopping for non-linear expectations. I
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Publication:550129
DOI10.1016/J.SPA.2010.10.001zbMATH Open1221.60059OpenAlexW3125014217MaRDI QIDQ550129FDOQ550129
Authors: Erhan Bayraktar, Song Yao 
Publication date: 8 July 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2010.10.001
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Cited In (44)
- Optimal stopping under nonlinear expectation
- Optimal stopping under \(g\)-expectation with constraints
- Optimal stopping with dynamic variational preferences
- Optimal arbitrage under model uncertainty
- Optimal stopping with \(f\)-expectations: the irregular case
- Nonconcave robust optimization with discrete strategies under Knightian uncertainty
- Optimal multiple stopping problems under \(g\)-expectation
- Optimal stopping: Bermudan strategies meet non-linear evaluations
- Portfolios of American options under general preferences: results and counterexamples
- Solving non–linear optimal stopping problems by the method of time–change
- Optimal stopping under model uncertainty: randomized stopping times approach
- Optimal multiple stopping problem under nonlinear expectation
- Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
- Optimal stopping for dynamic risk measures with jumps and obstacle problems
- Optimal stopping under g-Expectation with -integrable reward process
- Optimal stopping for non-linear expectations. II
- Optimal stopping under ambiguity in continuous time
- Stochastic representation under \(g\)-expectation and applications: the discrete time case
- Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
- A Weighted Central Limit Theorem Under Sublinear Expectations
- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- Doubly reflected BSDEs with integrable parameters and related Dynkin games
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
- Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems
- On undiscounted non-linear optimal multiple stopping
- On the strict value of the non-linear optimal stopping problem
- Optimal stopping with random maturity under nonlinear expectations
- Representations for optimal stopping under dynamic monetary utility functionals
- Optimal stopping for dynamic convex risk measures
- Risk measures for processes and BSDEs
- Solving optimal stopping problems under model uncertainty via empirical dual optimisation
- Upper and lower bounds of optimal stopping for a random sequence: the case of finite horizon
- Optimal stopping under adverse nonlinear expectation and related games
- The problem of optimal stopping via \(g\)-expectations
- A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
- Nonlinear PDE approach to time-inconsistent optimal stopping
- Optimal stopping under uncertainty in drift and jump intensity
- Minimax theorems for American options without time-consistency
- A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations
- Second order reflected backward stochastic differential equations
- On the uniqueness of the optional decomposition of semimartingales
- Nash equilibria for game contingent claims with utility-based hedging
- Optimal stopping with expectation constraints
- Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
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