Optimal Stopping for Non-linear Expectations
Optimization and Control
2011-01-11 v5 Probability
Pricing of Securities
Abstract
We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.
Cite
@article{arxiv.0905.3601,
title = {Optimal Stopping for Non-linear Expectations},
author = {Erhan Bayraktar and Song Yao},
journal= {arXiv preprint arXiv:0905.3601},
year = {2011}
}
Comments
Key Words: Nonlinear Expectations, Optimal Stopping, Snell envelope, Stability, g-expectations