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Stochastic Processes and their Applications

Volumn 121, Issue 2, 2011, Pages 185-211

Optimal stopping for non-linear expectations-Part I

(2) Bayraktar, Erhan a Yao, Song a

a UNIVERSITY OF MICHIGAN (United States)

Author keywords

G expectations; Nonlinear expectations; optimal stopping; snell envelope; stability

Indexed keywords

CONTINUOUS TIME; G-EXPECTATIONS; NON-LINEAR; NONLINEAR EXPECTATIONS; OPTIMAL STOPPING; OPTIMAL STOPPING PROBLEM; RISK MEASURES; SNELL ENVELOPE; STOCHASTIC ANALYSIS;

RISK ASSESSMENT;

OPTIMIZATION;

EID: 78650278733 PISSN: 03044149 EISSN: None Source Type: Journal
DOI: 10.1016/j.spa.2010.10.001 Document Type: Article

Times cited : (46)

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