On optimal stopping and free boundary problems under ambiguity

被引：1
|
作者：
Zhao, Guoqing [1 ]
Zhai, Kun [1 ]
Zong, Gaofeng [2 ]
机构：
[1] Shandong Univ Finance & Econ, Sch Finance, Jinan 250014, Shandong, Peoples R China
[2] Shandong Univ Finance & Econ, Sch Math, Jinan 250014, Shandong, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2018年 / 139卷
关键词：
BSDE; g-expectation; Optimal stopping; Free boundary problem; Ambiguity;
D O I：
10.1016/j.spl.2018.04.005
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：
This paper considers verification theorems for optimal stopping under ambiguity for diffusion processes via connecting with free boundary problems in infinite time horizon. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：129 / 134
页数：6
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