4 papers
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 indexed by two indices: and , where…
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…
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 funct…
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…