16 citations · 103 across the 24 of their papers we have counts for
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math.PR2012★ 1 cited
Martingale Problem under Nonlinear Expectations
Xin Guo, Chen Pan, Shige Peng
We formulate and solve the martingale problem in a nonlinear expectation space. Unlike the classical work of Stroock and Varadhan (1969) where the linear operator in the associated…
math.PR2012
A Note on - Optimal Stopping Problems
Xin Guo, Chen Pan, Shige Peng
We consider a class of discretionary stopping problems within the -framework. We first establish the well-definedness of the stopping problem under the -expectation, by showi…