6 citations · 7 across the 2 of their papers we have counts for
2 papers
math.PR2017★ 1 cited
Minimax theorems for American options in incomplete markets without time-consistency
Denis Belomestny, Volker Kraetschmer
In this paper we give sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope with respect to a family of absolutely continuo…
math.OC2015★ 6 cited
Optimal stopping under probability distortions and law invariant coherent risk measures
Denis Belomestny, Volker Kraetschmer
In this paper we study optimal stopping problems with respect to distorted expectations of the form \begin{eqnarray*} \mathcal{E}(X)=\int_{-\infty}^{\infty} x\,dG(F_X(x)), \end{eqn…