Optimal stopping for non-linear expectations--Part I

Erhan Bayraktar and Song Yao

Stochastic Processes and their Applications, 2011, vol. 121, issue 2, 185-211

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. Our development is presented in two parts. In the first part, we will develop the stochastic analysis tools that will be essential in solving the optimal stopping problems, which will be presented in Bayraktar and Yao (2011) [1].

Keywords: Nonlinear; expectations; Optimal; stopping; Snell; envelope; Stability; g-expectations (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (27)

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Journal Article: Optimal stopping for non-linear expectations--Part II (2011)
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