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Optimal stopping with f-expectations: The irregular case |
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| Institution: | Université d’Évry Val d’Essonne, Laboratoire de Mathématiques et Modélisation d’Évry, 91037 Évry Cedex, France;Quantitative Finance Course, Graduate School of Economics, The University of Tokyo, Japan |
| Abstract: | |
| Keywords: | Reflected backward stochastic differential equation Non-linear optimal stopping General filtration American option Tanaka-type formula |
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