Optimal stopping for non-linear expectations--Part II

Relying on the stochastic analysis tools developed in Bayraktar and Yao (2011) [1], we solve the optimal stopping problems for non-linear expectations.

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Year of publication:	2011
Authors:	Bayraktar, Erhan ; Yao, Song
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 2, p. 212-264
Publisher:	Elsevier
Keywords:	Non-linear expectations Optimal stopping Snell envelope Stability g-expectations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873161