1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.OC2023
Optimal stopping: Bermudan strategies meet non-linear evaluations
Miryana Grigorova, Marie-Claire Quenez, Peng Yuan
We address an optimal stopping problem over the set of Bermudan-type strategies (which we understand in a more general sense than the stopping strategies for Bermudan options i…
math.OC2014★ 1 cited
Optimal stopping for dynamic risk measures with jumps and obstacle problems
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study the optimal stopping problem for a monotonous dynamic risk measure induced by a BSDE with jumps in the Markovian case. We show that the value function is a viscosity solut…