Optimal stopping for non-linear expectations- Part II

Stochastic Processes and their Applications

Volumn 121, Issue 2, 2011, Pages 212-264

  Bayraktar, Erhan ^a   Yao, Song ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

G expectations; Non linear expectations; optimal stopping; snell envelope; stability

Indexed keywords

G-EXPECTATIONS; NON-LINEAR; NON-LINEAR EXPECTATIONS; OPTIMAL STOPPING; OPTIMAL STOPPING PROBLEM; SNELL ENVELOPE; STOCHASTIC ANALYSIS;

OPTIMIZATION;

EID: 78650278734     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2010.10.002     Document Type: Article

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