Optimal Multiple Stopping Problems Under g-expectation
Author:
Funder
Deutsche Forschungsgemeinschaft
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
https://link.springer.com/content/pdf/10.1007/s00245-022-09857-0.pdf
Reference20 articles.
1. Bayraktar, E., Yao, S.: Optimal stopping for nonlinear expectations-part I. Stoch. Process. Appl. 121, 185–211 (2011)
2. Bayraktar, E., Yao, S.: Optimal stopping for nonlinear expectations-part II. Stoch. Process. Appl. 121, 212–264 (2011)
3. Carmona, R., Touzi, N.: Optimal multiple stopping and valuation of swing options. Math. Financ. 18, 239–268 (2008)
4. Chen, Z., Epstein, L.: Ambiguity, risk and asset returns in continuous time. Econometrica 70, 1403–1443 (2002)
5. Chen, Z., Peng, S.: Continuous properties of $$g$$-martingales. Chin. Ann. Math. 22B, 115–128 (2001)
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