Optimal stopping for non-linear expectations--Part II

Erhan Bayraktar and Song Yao

Stochastic Processes and their Applications, 2011, vol. 121, issue 2, 212-264

Abstract: Relying on the stochastic analysis tools developed in Bayraktar and Yao (2011) [1], we solve the optimal stopping problems for non-linear expectations.

Keywords: Non-linear; 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 (22)

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