Optimal stopping for non-linear expectations—Part I

Author:

Bayraktar Erhan,Yao Song

Funder

National Science Foundation

Career grant

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference15 articles.

1. Optimal stopping for non-linear expectations–part II;Bayraktar;Stochastic Process. Appl.,2011

2. Time consistent dynamic risk processes;Bion-Nadal;Stochastic Process. Appl.,2009

3. Dynamic monetary risk measures for bounded discrete-time processes;Cheridito;Electron. J. Probab.,2006

4. Filtration-consistent nonlinear expectations and related g-expectations;Coquet;Probab. Theory Related Fields,2002

5. The structure of m-stable sets and in particular of the set of risk neutral measures;Delbaen,2006

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