Optimal stopping for non-linear expectations. II

DOI10.1016/j.spa.2010.10.002zbMath1221.60060arXiv0905.3601MaRDI QIDQ550130

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://arxiv.org/abs/0905.3601

zbMATH Keywords

stability; optimal stopping; \(g\)-expectations; non-linear expectations; snell envelope

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

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