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Optimal Stopping for Non-linear Expectations

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.
Year of publication:
2009-05
Authors: Bayraktar, Erhan ; Yao, Song
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Published in Stochastic Processes and Their Applications (2011), Vol 121 (2), 185-264
Source:
Persistent link: https://www.econbiz.de/10008794587
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