Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs
Author:
Affiliation:
1. Department of Mathematics, Humboldt University-Berlin, Berlin, Germany.
2. Laboratoire de Probabilités et Modèles Aléatoires, Université Paris-Diderot, Paris Cedex 13, France.
Publisher
Informa UK Limited
Subject
Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2016.1166505
Reference32 articles.
1. Dynkin games
2. Optimal stopping for non-linear expectations—Part I
3. Optimal stopping for dynamic convex risk measures
4. Conjugate convex functions in optimal stochastic control
5. Théorie probabiliste du contrôle des diffusions
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