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Optimal stopping for non-linear expectations—Part II
Authors:Erhan Bayraktar  Song Yao
Affiliation:
  • Department of Mathematics, University of Michigan, Ann Arbor, MI 48109, United States
    		•
    Abstract:Relying on the stochastic analysis tools developed in Bayraktar and Yao (2011) [1], we solve the optimal stopping problems for non-linear expectations.
    Keywords:Non-linear expectations   Optimal stopping   Snell envelope   Stability     mmlsi1"   class="  mathmlsrc"   onclick="  submitCitation('/science?_ob=MathURL&  _method=retrieve&  _eid=1-s2.0-S0304414910002413&  _mathId=si1.gif&  _pii=S0304414910002413&  _issn=03044149&  _acct=C000053510&  _version=1&  _userid=1524097&  md5=654427a889f78fbb383f964e4e1cdf89')"   style="  cursor:pointer  "   alt="  Click to view the MathML source"   title="  Click to view the MathML source"  >  formulatext"   title="  click to view the MathML source"  >g-expectations
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