In the Brownian case, the links between dynamic risk measures and BSDEs have been
widely studied. In this paper, we consider the case with jumps. We first study the properties …

We examine optimization problems in which an investor has the opportunity to trade in $ d $
stocks with the goal of maximizing her worst-case cost of cumulative gains and losses. Here …

We study the optimal stopping problem for dynamic risk measures represented by Backward
Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs …

We develop a theory of optimal stopping problems under ambiguity in continuous time.
Using results from (backward) stochastic calculus, we characterize the value function as the …

We study the existence of optimal actions in a zero-sum game τPE^PX_τ between a stopper
and a controller choosing a probability measure. This includes the optimal stopping problem …

We consider the optimal stopping problem with non-linear f-expectation (induced by a
BSDE) without making any regularity assumptions on the payoff process ξ and in the case of …

We consider a zero-sum stochastic differential controller-and-stopper game in which the
state process is a controlled diffusion evolving in a multidimensional Euclidean space. In this …

Consider a robust retirement decision problem for a risk-and ambiguity-averse investor
concerned about return ambiguity in risky asset prices. When the investor aims to maximize …

An unconventional approach for optimal stopping under model ambiguity is introduced.
Besides ambiguity itself, we take into account how ambiguity‐averse an agent is. This …

We develop a method to solve, theoretically and numerically, general optimal stopping
problems. Our general setting allows for multiple exercise rights—that is, optimal multiple …