Optimal stopping for non-linear expectations. I

DOI10.1016/J.SPA.2010.10.001MaRDI QIDQ550129zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stabilityoptimal stoppingnonlinear expectationsSnell envelope\(g\)-expectations

Mathematics Subject Classification ID

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

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• Optimal stopping for non-linear expectations. II
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Cited in

(44)

• Optimal stopping under adverse nonlinear expectation and related games
• Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
• Optimal stopping with \(f\)-expectations: the irregular case
• A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
• Optimal stopping under g-Expectation with -integrable reward process
• Optimal stopping for dynamic convex risk measures
• Optimal stopping for non-linear expectations. II
• Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
• Nonlinear PDE approach to time-inconsistent optimal stopping
• Optimal stopping under model uncertainty: randomized stopping times approach
• Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems
• Solving non–linear optimal stopping problems by the method of time–change
• Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
• Optimal multiple stopping problem under nonlinear expectation
• On undiscounted non-linear optimal multiple stopping
• A Weighted Central Limit Theorem Under Sublinear Expectations
• Nonconcave robust optimization with discrete strategies under Knightian uncertainty
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• On the strict value of the non-linear optimal stopping problem
• Optimal stopping under uncertainty in drift and jump intensity
• Second order reflected backward stochastic differential equations
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
• Nash equilibria for game contingent claims with utility-based hedging
• On the uniqueness of the optional decomposition of semimartingales
• Optimal stopping under nonlinear expectation
• Optimal stopping under \(g\)-expectation with constraints
• Minimax theorems for American options without time-consistency
• Optimal stopping with dynamic variational preferences
• The problem of optimal stopping via \(g\)-expectations
• Optimal multiple stopping problems under \(g\)-expectation
• A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations
• Upper and lower bounds of optimal stopping for a random sequence: the case of finite horizon
• Optimal stopping with expectation constraints
• Optimal stopping: Bermudan strategies meet non-linear evaluations
• Optimal stopping for dynamic risk measures with jumps and obstacle problems
• Optimal arbitrage under model uncertainty
• Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
• Risk measures for processes and BSDEs
• Optimal stopping under ambiguity in continuous time
• Stochastic representation under \(g\)-expectation and applications: the discrete time case
• Optimal stopping with random maturity under nonlinear expectations
• Representations for optimal stopping under dynamic monetary utility functionals
• Solving optimal stopping problems under model uncertainty via empirical dual optimisation
• Portfolios of American options under general preferences: results and counterexamples

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