Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
DOI10.1214/23-ejp989arXiv1305.0887OpenAlexW4385154317MaRDI QIDQ6137386
Samuel N. Cohen, Shaolin Ji, Lifen An
Publication date: 1 September 2023
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.0887
optimal stopping\(g\)-expectationbackward stochastic difference equationsAmerican contingent claimsreflected BSDEs
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
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