2 papers
math.OC2025
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…
math.OC2023
Non-linear non-zero-sum Dynkin games with Bermudan strategies
Miryana Grigorova, Marie-Claire Quenez, Yuan Peng
In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functio…