Optimal Stopping for Non-linear Expectations

Erhan Bayraktar and Song Yao

Papers from arXiv.org

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.

Date: 2009-05, Revised 2011-01
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Citations: View citations in EconPapers (25)

Published in Stochastic Processes and Their Applications (2011), Vol 121 (2), 185-264

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0905.3601

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