most citedOptimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs

9 citations · 10 across the 2 of their papers we have counts for

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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-…