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20182025
most citedVariational solutions of stochastic partial differential equations with cylindrical Lévy noise

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math.OC2023

Optimal stopping with nonlinear expectation: geometric and algorithmic solutions

Tomasz Kosmala, John Moriarty

We use the geometry of suitably generalised potentials to solve risk-sensitive Markovian optimal stopping problems. As in the linear case due to Dynkin and Yushkievich (1967), the…