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On the Robust Optimal Stopping Problem - MaRDI portal

On the Robust Optimal Stopping Problem (Q5173275)

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scientific article; zbMATH DE number 6399496
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English
On the Robust Optimal Stopping Problem
scientific article; zbMATH DE number 6399496

    Statements

    title
    On the Robust Optimal Stopping Problem (English)
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    author
    Erhan Bayraktar
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    Song Yao
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    publication date
    9 February 2015
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    zbMATH Keywords
    robust optimal stopping
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    zero-sum game
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    volatility uncertainty
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    dynamic programming principle
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    Snell envelope
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    nonlinear expectation
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    weak stability
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    path-dependent stochastic differential equations
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    Identifiers

    DOI
    10.1137/130950331
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    Mathematics Subject Classification ID
    60G40
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    93E20
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    91A15
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    60H10
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    60G44
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    49L20
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    91G80
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    zbMATH DE Number
    6399496
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    OpenAlex ID
    W3122653308
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    arXiv ID
    1301.0091
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