Optimal stopping for non-linear expectations. II

Abstract: We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.

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A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
Adapted solution of a backward stochastic differential equation
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Martingale approach to stochastic control with discretionary stopping
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Optimal stopping for non-linear expectations. I
Quadratic BSDEs with convex generators and unbounded terminal conditions
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Cited in

(39)

Nash equilibria for game contingent claims with utility-based hedging
On the controller-stopper problems with controlled jumps
Optimal stopping with expectation constraints
Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
Optimal stopping under nonlinear expectation
Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Quadratic reflected BSDEs with unbounded obstacles
Utility maximization when shorting American options
Optimal multiple stopping problems under g-expectation
Optimal stopping under model uncertainty: randomized stopping times approach
Optimal stopping: Bermudan strategies meet non-linear evaluations
Optimal multiple stopping problem under nonlinear expectation
Optimal stopping for non-linear expectations. I
On the stochastic control-stopping problem
Optimal stopping under g-Expectation with -integrable reward process
Optimal stopping under ambiguity in continuous time
Stochastic representation under \(g\)-expectation and applications: the discrete time case
Dynamic programming approach to reflected backward stochastic differential equations
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
A Weighted Central Limit Theorem Under Sublinear Expectations
Doubly reflected BSDEs with integrable parameters and related Dynkin games
Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
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
Optimal stopping for dynamic convex risk measures
Risk measures for processes and BSDEs
Solving optimal stopping problems under model uncertainty via empirical dual optimisation
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Upper and lower bounds of optimal stopping for a random sequence: the case of finite horizon
The problem of optimal stopping via \(g\)-expectations
A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients
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Minimax theorems for American options without time-consistency
Second order reflected backward stochastic differential equations
On the uniqueness of the optional decomposition of semimartingales

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