9 citations · 20 across the 11 of their papers we have counts for
7 papers · 1 filter
Non-linear optimal stopping with Bermudan strategies: the infinite horizon case
Miryana Grigorova, Ohood Aldalbahi
In this paper, we consider an optimal stopping problem with infinite horizon, non-negative pay-offs and non-linear evaluations indexed by two indices: and , where…
The randomly distorted Choquet integrals with respect to a G-randomly distorted capacity and risk measures
Ohood Aldalbahi, Miryana Grigorova
We study randomly distorted Choquet integrals with respect to a capacity c on a measurable space (Ω,F), where the capacity c is distorted by a G-measurable random distortion functi…
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…
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-…
Doubly Reflected BSDEs and -Dynkin games: beyond the right-continuous case
Miryana Grigorova, Peter Imkeller, Youssef Ouknine +1
We formulate a notion of doubly reflected BSDE in the case where the barriers and do not satisfy any regularity assumption and with a general filtration. Under a technical…
Optimal stopping with f -expectations: the irregular case
Miryana Grigorova, Peter Imkeller, Youssef Ouknine +1
We consider the optimal stopping problem with non-linear -expectation (induced by a BSDE) without making any regularity assumptions on the reward process . and with general f…
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
Miryana Grigorova, Peter Imkeller, Elias Offen +2
In the first part of the paper, we study reflected backward stochastic differential equations (RBSDEs) with lower obstacle which is assumed to be right upper-semicontinuous but not…