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ArticleOptimal stopping under nonlinear expectation

Ibrahim Ekren2014

OA

Articlebronze2014

Optimal stopping under nonlinear expectation

Ibrahim Ekren · Nizar Touzi · Jianfeng Zhang

78 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Fuzzy Systems and Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 78 citations exist upstream.

References

2005Controlled Markov Processes and Viscosity Solutions 1990Adapted solution of a backward stochastic differential equation 1980Controlled Diffusion Processes 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty 2011Wellposedness of second order backward SDEs

Cited by

2015Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations 2014A complete representation theorem for G-martingales 2017Theory, methods and meaning of nonlinear expectation theory 2013Second order reflected backward stochastic differential equations 2017Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs 2016On the Robust Optimal Stopping Problem ∗†2015On Hedging American Options under Model Uncertainty

Details

Year2014

Typearticle

Published2014-05-10

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations78

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2014.04.006

openalex_workW2962917010

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