Optimal stopping for non-linear expectations—Part I
By Erhan Bayraktar, Song Yao. 2011
61 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/f6a2e661d1ec02c57958c01a58f2d3de28f8cfac
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Marcel Nutz
- Jianfeng Zhang
- Erhan Bayraktar
- Ioannis Karatzas
- Song Yao
- Nizar Touzi
- Bruno Bouchard
- Ariel Neufeld
In Management Science and Operations Research
- Marcel Nutz
- Jianfeng Zhang
- Ioannis Karatzas
- Song Yao
- Erhan Bayraktar
- Ariel Neufeld
- Bruno Bouchard
- Daniel Bartl
Citations in the corpus
- Optimal stopping under adverse nonlinear expectation and related games (2012, background): “The Annals of Applied Probability 2015, Vol. 25, No. 5, 2503–2534 DOI: 10.1214/14-AAP1054 © Institute of Mathematical Statistics, 2015”
- 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 II (2011, unknown): “5) of [1] if and only if Ei satisfies the following statement: Let {ξn}n∈N ⊂ Dom(E ) be a sequence converging a.”