Optimal stopping under adverse nonlinear expectation and related games
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References listed on IDEAS
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- Erhan Bayraktar & Song Yao, 2015. "On the Robust Dynkin Game," Papers 1506.09184, arXiv.org, revised Sep 2016.
- repec:eee:spapps:v:127:y:2017:i:8:p:2586-2629 is not listed on IDEAS
- Bayraktar, Erhan & Yao, Song, 2015.
"Doubly reflected BSDEs with integrable parameters and related Dynkin games,"
Stochastic Processes and their Applications,
Elsevier, vol. 125(12), pages 4489-4542.
- Erhan Bayraktar & Song Yao, 2014. "Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games," Papers 1412.2053, arXiv.org, revised Jul 2015.
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016.
"Minimizing the probability of lifetime drawdown under constant consumption,"
Insurance: Mathematics and Economics,
Elsevier, vol. 69(C), pages 210-223.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Probability of Lifetime Drawdown under Constant Consumption," Papers 1507.08713, arXiv.org, revised May 2016.
- Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and duality in nondominated discrete-time models," Papers 1305.6008, arXiv.org, revised Mar 2015.
- Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Nov 2017.
- Francesca Biagini & Jacopo Mancin, 2016. "Robust Financial Bubbles," Papers 1602.05471, arXiv.org.
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- Erhan Bayraktar & Song Yao, 2013. "On the Robust Optimal Stopping Problem," Papers 1301.0091, arXiv.org, revised Apr 2016.
- Marcel Nutz, 2014. "Robust Superhedging with Jumps and Diffusion," Papers 1407.1674, arXiv.org, revised Jul 2015.
- Ariel Neufeld & Mario Sikic, 2017. "Nonconcave Robust Optimization under Knightian Uncertainty," Papers 1711.03875, arXiv.org.
- Dylan Possamai & Xiaolu Tan & Chao Zhou, 2015. "Stochastic control for a class of nonlinear kernels and applications," Papers 1510.08439, arXiv.org, revised Jul 2017.
- Bayraktar, Erhan & Yao, Song, 2017.
"Optimal stopping with random maturity under nonlinear expectations,"
Stochastic Processes and their Applications,
Elsevier, vol. 127(8), pages 2586-2629.
- Erhan Bayraktar & Song Yao, 2015. "Optimal Stopping with Random Maturity under Nonlinear Expectations," Papers 1505.07533, arXiv.org, revised Jul 2016.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-15 (All new papers)
- NEP-GTH-2012-12-15 (Game Theory)
- NEP-MIC-2012-12-15 (Microeconomics)
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