Financial/Actuarial Mathematics Seminar

Oct 21, 2010 (Thursday, 3-4 p.m., 3088 EH)



Optimal Stopping for Nonlinear Expectations

Song Yao

Department of Mathematics, University of Michigan

Oct 21, 2010


Abstract

We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.
Joint work with Erhan Bayraktar.

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