Optimal Stopping for Non-linear Expectations
نویسندگان
چکیده
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.
منابع مشابه
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. c ⃝ 2010 Elsevier B.V. All rights reserved.
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تاریخ انتشار 2009