On the strict value of the non-linear optimal stopping problem

Grigorova, M, Imkeller, P, Ouknine, Y et al. (1 more author) (2020) On the strict value of the non-linear optimal stopping problem. Electronic Communications in Probability, 25. 49. ISSN 1083-589X



  • Grigorova, M
  • Imkeller, P
  • Ouknine, Y
  • Quenez, M-C
Copyright, Publisher and Additional Information: This is an open access article under the terms of the Creative Commons Attribution 4.0 International License.
Keywords: Optimal stopping; non-linear expectation; strict value process; general filtration; irregular payoff; strong E f -supermartingale
  • Accepted: 18 June 2020
  • Published: 18 July 2020
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 29 Jul 2020 12:13
Last Modified: 29 Jul 2020 12:13
Status: Published
Publisher: Institute of Mathematical Statistics
Identification Number: https://doi.org/10.1214/20-ecp328