Abstract
In this chapter we introduce nonlinear expectation and conditional nonlinear expectation by using the quasi-sure stochastic analysis. We shall also study the optimal stopping problem under nonlinear expectation.
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Zhang, J. (2017). Nonlinear Expectation. In: Backward Stochastic Differential Equations. Probability Theory and Stochastic Modelling, vol 86. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-7256-2_10
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DOI: https://doi.org/10.1007/978-1-4939-7256-2_10
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