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
Suggested Citation: 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