Recent developments in the theory of stochastic control and optimal stopping with nonlinear expectations

Abstract

In this talk, we present recent developments in the theory of control and optimal stopping with nonlinear expectations, as well as their applications in finance. We first introduce an optimal stopping game with nonlinear... [ view full abstract ]

Authors

  1. Roxana Dumitrescu (King's College London)
  2. Agnes Sulem (INRIA)
  3. Marie-Claire Quenez (Université Paris-Diderot)

Topic Areas

Backward Stochastic Differential Equations , Game Theory , Optimal Control

Session

MO-A-SW » BSDE and PDE Methods (11:30 - Monday, 16th July, Swift)

Presentation Files

The presenter has not uploaded any presentation files.