Optimal stopping with f-expectations: The irregular case

Autor: Miryana Grigorova, Youssef Ouknine, Peter Imkeller, Marie-Claire Quenez

Publikováno v: Stochastic Processes and their Applications. 130:1258-1288

We consider the optimal stopping problem with non-linear $f$-expectation (induced by a BSDE) without making any regularity assumptions on the reward process $\xi$. and with general filtration. We show that the value family can be aggregated by an opt

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::780e62b83d5f31e18f948e640147e861
https://doi.org/10.1016/j.spa.2019.05.001

On the strict value of the non-linear optimal stopping problem

Autor: Marie-Claire Quenez, Miryana Grigorova, Peter Imkeller, Youssef Ouknine

Publikováno v: Electron. Commun. Probab.

We address the non-linear strict value problem in the case of a general filtration and a completely irregular pay-off process $(\xi _{t})$. While the value process $(V_{t})$ of the non-linear problem is only right-uppersemicontinuous, we show that th

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6196434bd702d117655e7ae71c9664a8
https://projecteuclid.org/euclid.ecp/1595037888

Doubly Reflected BSDEs and $\mathcal{E} ^{{f}}$-Dynkin games: beyond the right-continuous case

Autor: Youssef Ouknine, Marie-Claire Quenez, Peter Imkeller, Miryana Grigorova

Publikováno v: Electron. J. Probab.

We formulate a notion of doubly reflected BSDE in the case where the barriers $\xi $ and $\zeta $ do not satisfy any regularity assumption and with general filtration. Under a technical assumption (a Mokobodzki-type condition), we show existence and

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1bd2ae76a9ee232904fab268db22fe42
https://doi.org/10.1214/18-ejp225

Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs

Autor: Marie-Claire Quenez, Miryana Grigorova

Publikováno v: Stochastics: An International Journal of Probability and Stochastic Processes
Stochastics: An International Journal of Probability and Stochastic Processes, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2016, pp.DOI:10.1080/17442508.2016.1166505
Stochastics: An International Journal of Probability and Stochastic Processes, 2016, pp.DOI:10.1080/17442508.2016.1166505
Stochastics: An International Journal of Probability and Stochastic Processes, 2017, 89 (1), ⟨10.1080/17442508.2016.1166505⟩
Stochastics: An International Journal of Probability and Stochastic Processes, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2016, 89 (1), ⟨10.1080/17442508.2016.1166505⟩

International audience; We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) $g$-expectation. We then consider a no

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8bfe1167368f7c8cc0d9ac02c9106b21
http://arxiv.org/abs/1705.03724

Stochastic orderings with respect to a capacity and an application to a financial optimization problem

Autor: Miryana Grigorova

Publikováno v: Statistics & Risk Modeling with Applications in Finance and Insurance
Statistics & Risk Modeling with Applications in Finance and Insurance, De Gruyter, 2014, 31 (2), pp.183-213
Statistics & Risk Modeling with Applications in Finance and Insurance, 2014, 31 (2), pp.183-213

By analogy with the classical case of a probability measure, we extend the notion of increasing convex (concave) stochastic dominance relation to the case of a normalized monotone (but not necessarily additive) set function also called a capacity. We

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f4547ff7103f4477ba31bc2ec63f7d7f
https://hal.archives-ouvertes.fr/hal-01020721