Miryana Grigorova

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

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2 papers · 1 filter

math.PR2026

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 $ρ_{S, τ}$ indexed by two indices: $S$ and $τ$ , where…

q-fin.MF2026

European Options in Market Models with Multiple Defaults: the BSDE approach

Miryana Grigorova, James Wheeldon

We study non-linear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and p default martingales. The driver of the BSDE with multiple default jumps can…