9 citations · 20 across the 11 of their papers we have counts for
3 papers · 1 filter
The non-linear multiple stopping problem: between the discrete and the continuous time
Miryana Grigorova, Marie-Claire Quenez, Peng Yuan
We consider the non-linear optimal multiple stopping problem under general conditions on the non-linear evaluation operators, which might depend on two time indices: the time of ev…
Non-linear non-zero-sum Dynkin games with Bermudan strategies
Miryana Grigorova, Marie-Claire Quenez, Yuan Peng
In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functio…
Optimal stopping: Bermudan strategies meet non-linear evaluations
Miryana Grigorova, Marie-Claire Quenez, Peng Yuan
We address an optimal stopping problem over the set of Bermudan-type strategies (which we understand in a more general sense than the stopping strategies for Bermudan options i…