Optimal stopping under \(g\)-expectation with constraints

DOI10.1016/J.ORL.2012.12.009zbMath1279.60054OpenAlexW1970138860MaRDI QIDQ1949682

Helin Wu

Publication date: 14 May 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.12.009

zbMATH Keywords

reward processmartingale methodreflected BSDEconstrained optimal stopping problem\(g_{\Gamma}\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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