9 citations · 24 across the 10 of their papers we have counts for
8 papers · 1 filter
Optimal Stopping with Random Maturity under Nonlinear Expectations
Erhan Bayraktar, Song Yao
We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities . The…
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
Erhan Bayraktar, Song Yao
We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle and the upper obsta…
On the Robust Optimal Stopping Problem
Erhan Bayraktar, Song Yao
We study a robust optimal stopping problem with respect to a set $\cP$ of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which th…
A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls
Erhan Bayraktar, Song Yao
We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic…
Quadratic Reflected BSDEs with Unbounded Obstacles
Erhan Bayraktar, Song Yao
In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generato…
Optimal Stopping for Dynamic Convex Risk Measures
Erhan Bayraktar, Ioannis Karatzas, Song Yao
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate…