9 citations · 24 across the 10 of their papers we have counts for
Showing 2009Show all
3 papers · 1 filter
math.PR2009★ 9 cited
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…
math.PR2009
On Quadratic g-Evaluations/Expectations and Related Analysis
Jin Ma, Song Yao
In this paper we extend the notion of g-evaluation, in particular g-expectation, to the case where the generator g is allowed to have a quadratic growth. We show that some importan…
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…