Optimal Stopping for Non-Linear Expectations - Part I

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. Our development is presented in two parts. In the first part, we will develop the stochastic analysis tools that will be essential in solving the optimal stopping problems, which will be presented in part II

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Year of publication:	2016
Authors:	Bayraktar, Erhan
Other Persons:	Yao, Song (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Suchtheorie \| Search theory \| Erwartungsbildung \| Expectation formation

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Extent:	1 Online-Ressource (22 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Stochastic Processes and Their Applications, 121(2), 185-211, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 22, 2009 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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