most citedMartingale Problem under Nonlinear Expectations

1 citations · 1 across the 2 of their papers we have counts for

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2 papers

math.PR2012★ 1 cited

Martingale Problem under Nonlinear Expectations

Xin Guo, Chen Pan, Shige Peng

We formulate and solve the martingale problem in a nonlinear expectation space. Unlike the classical work of Stroock and Varadhan (1969) where the linear operator in the associated…

math.PR2012

A Note on - Optimal Stopping Problems

Xin Guo, Chen Pan, Shige Peng

We consider a class of discretionary stopping problems within the -framework. We first establish the well-definedness of the stopping problem under the -expectation, by showi…