Dynamic asset pricing theory with uncertain time-horizon.

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The Worst Case for Real Options (2010, background): “The most common are a numerical valuation of American options assuming fixed and finite horizon (employing a finite differences algorithm), an analytic approximation of the solution to the same problem [19] and the extension of Girsanov’s theorem to an uncertain time-horizon proposed in [20].”
Minimal Entropy Martingale Measure (2010, background): “Apart from the above, there are a number of other areas where the minimal entropy martingale measure has come up; these include – option price comparisons ([7], [11], [32], [33], [34], [55]); – generalisations or connections to other optimal ELMMs ([2], [14], [15], [66]); see also eqf04/015 [minimal”