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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 indexed by two indices: and , where…
math.PR2025
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…