Optimal stopping for non-linear expectations. II
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Publication:550130
DOI10.1016/J.SPA.2010.10.002zbMATH Open1221.60060arXiv0905.3601OpenAlexW3121220925MaRDI QIDQ550130FDOQ550130
Authors: Erhan Bayraktar, Song Yao 
Publication date: 8 July 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0905.3601
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Cited In (39)
- On the controller-stopper problems with controlled jumps
- Optimal stopping under nonlinear expectation
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- Quadratic reflected BSDEs with unbounded obstacles
- Utility maximization when shorting American options
- Optimal multiple stopping problems under \(g\)-expectation
- Optimal stopping: Bermudan strategies meet non-linear evaluations
- Optimal stopping under model uncertainty: randomized stopping times approach
- Optimal multiple stopping problem under nonlinear expectation
- On the stochastic control-stopping problem
- Optimal stopping under g-Expectation with -integrable reward process
- Optimal stopping for non-linear expectations. I
- Optimal stopping under ambiguity in continuous time
- Dynamic programming approach to reflected backward stochastic differential equations
- 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
- 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 note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients
- A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
- Optimal Stopping of Two-Parameter Processes on Nonstandard Probability Spaces
- Minimax theorems for American options without time-consistency
- 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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