We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle $L$ and the upper obstacle $U$ of the equation are completely separated, we construct a unique solution of the doubly reflected BSDE by...

We study a robust optimal stopping problem with respect to a set $\cP$ of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse player wants to minimize this payoff by choosing an...

In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator f has quadratic growth in the z-variable. In particular, we obtain existence, uniqueness, and stability results,...

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...

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

Sponsored search advertising is ascendant Jupiter Research reportsexpenditures rose 28% in 2007 to $8.9B and will continue to rise at a15% CAGR, making it one of the major trends to affect the marketinglandscape. Yet little, if any empirical research focuses upon searchengine marketing strategy...

We review research on revenue models used by online firms who offer digital goods. Such goods are non-rival, have near zero marginal cost of production and distribution, low marginal cost of consumer search, and low transaction costs. Additionally, firms can easily observe and measure consumer...

Sponsored search advertising is ascendant--Forrester Research reports expenditures rose 28% in 2007 to $8.1 billion and will continue to rise at a 26% compound annual growth rate [VanBoskirk, S. 2007. U.S. interactive marketing forecast, 2007 to 2012. Forrester Research (October 10)],...

In this paper we extend the notion of "filtration-consistent nonlinear expectation" (or "-consistent nonlinear expectation") to the case when it is allowed to be dominated by a g-expectation that may have a quadratic growth. We show that for such a nonlinear expectation many fundamental...

With $40 billion in annual gross merchandise volume, electronic auctions comprise a substantial and growing sector of the retail economy. Using unique data on Celtic coins, we estimate a structural model of buyer and seller behavior via Markov chain Monte Carlo (MCMC) with data augmentation....