64 citations · 410 across the 142 of their papers we have counts for
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math.OC2009★ 2 cited
Optimal Stopping for Non-linear Expectations
Erhan Bayraktar, Song Yao
We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measure…
math.OC2009
Regularity of the Optimal Stopping Problem for Jump Diffusions
Erhan Bayraktar, Hao Xing
The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of th…