Optimal stopping under adverse nonlinear expectation and related games
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Publication:748312
DOI10.1214/14-AAP1054zbMath1322.60047arXiv1212.2140MaRDI QIDQ748312
Publication date: 20 October 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.2140
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)
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