Stochastic representation under \(g\)-expectation and applications: the discrete time case

DOI10.1016/J.JMAA.2022.126703OpenAlexW4296675476MaRDI QIDQ2084896

Miryana Grigorova, Hanwu Li

Publication date: 13 October 2022

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.07930

zbMATH Keywords

Skorokhod problem\(g\)-expectationstochastic representationoptimal stopping problem

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Mathematical economics (91Bxx) Stochastic processes (60Gxx)

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