Optimal stopping for non-linear expectations - Part I

被引：30

作者：

Bayraktar, Erhan ^{[1
]}

Yao, Song ^{[1
]}

机构：

[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2011年 / 121卷 / 02期

基金：

美国国家科学基金会;

关键词：

Nonlinear expectations; Optimal stopping; Snell envelope; Stability; g-expectations; MARTINGALE APPROACH; CONSISTENT;

D O I：

10.1016/j.spa.2010.10.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. Our development is presented in two parts. In the first part, we will develop the stochastic analysis tools that will be essential in solving the optimal stopping problems, which will be presented in Bayraktar and Yao (2011) [1] (c) 2010 Elsevier B.V. All rights reserved.

引用

页码：185 / 211

页数：27

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