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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

Erhan Bayraktar

University of Michigan at Ann Arbor - Department of Mathematics

Song Yao

University of Pittsburgh

Date Written: May 22, 2009

Abstract

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

Suggested Citation

Bayraktar, Erhan and Yao, Song, Optimal Stopping for Non-Linear Expectations - Part II (May 22, 2009). Stochastic Processes and Their Applications, 121(2), 212-264, 2011. Available at SSRN: https://ssrn.com/abstract=2395431

Erhan Bayraktar (Contact Author)

University of Michigan at Ann Arbor - Department of Mathematics ( email )

2074 East Hall
530 Church Street
Ann Arbor, MI 48109-1043
United States

Song Yao

University of Pittsburgh ( email )

507 Thackeray Hall
Pittsburgh, PA 15260
United States

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