activity
20152026
most citedOptimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs

9 citations · 20 across the 11 of their papers we have counts for

collaborators
Showing 2025Show all

2 papers · 1 filter

math.PR2025

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…

math.OC2025

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…