Optimal stopping for non-linear expectations--Part II
Erhan Bayraktar and
Stochastic Processes and their Applications, 2011, vol. 121, issue 2, 212-264
Relying on the stochastic analysis tools developed in Bayraktar and Yao (2011) , 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)
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Journal Article: Optimal stopping for non-linear expectations--Part I (2011)
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