9 citations · 10 across the 2 of their papers we have counts for
2 papers
math.PR2022★ 1 cited
Stochastic representation under g-expectation and applications: the discrete time case
Miryana Grigorova, Hanwu Li
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as…
math.PR2017★ 9 cited
Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs
Miryana Grigorova, Marie-Claire Quenez
We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-…