Optimal Stopping for Non-Linear Expectations - Part II
By Erhan Bayraktar, Song Yao. 2011
57 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/0ccbe28c6c5f9d35998a2f6b12e9b4e3e07834a7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Erhan Bayraktar
- Song Yao
- Ioannis Karatzas
- Jianfeng Zhang
- Marcel Nutz
- Soumik Pal
- Marie Claire Quenez
- Mykhaylo Shkolnikov
In Management Science and Operations Research
- Ioannis Karatzas
- Song Yao
- Erhan Bayraktar
- Marcel Nutz
- Gordan Zitkovic
- Marie Claire Quenez
- Constantinos Kardaras
- Jianfeng Zhang
Citations in the corpus
- Optimal Stopping for Dynamic Convex Risk Measures (2009, background): “The controller-and-stopper problem of [20] and [15], and the optimal stopping for nonlinear expectations in [1] and [2], are the closest in spirit to our work.”
- Optimal stopping for non-linear expectations—Part I (2011, unknown): “1 of [1]); (3) {Eg[·|Ft ]}t∈[0,T ], L(FT ) : the g-expectation with generator g(t, z) having quadratic growth in z (see Section 5.”