Optimal Stopping for Non-Linear Expectations - Part II
Stochastic Processes and Their Applications, 121(2), 212-264, 2011
38 Pages Posted: 15 Feb 2014 Last revised: 10 Jul 2016
Date Written: May 22, 2009
Relying on the stochastic analysis tools developed in Part I, we will solve the optimal stopping problems for non-linear expectations.
Keywords: Nonlinear expectations, Optimal stopping, Snell envelope, Stability, g-expectations
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