Optimal Stopping With Æ’-Expectations: the irregular case

Miryana Grigorova, Peter Imkeller, Youssef Ouknine and Marie-Claire Quenez
Additional contact information
Miryana Grigorova: Center for Mathematical Economics, Bielefeld University
Peter Imkeller: Center for Mathematical Economics, Bielefeld University
Youssef Ouknine: Center for Mathematical Economics, Bielefeld University
Marie-Claire Quenez: Center for Mathematical Economics, Bielefeld University

No 587, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: We consider the optimal stopping problem with non-linear ƒ-expectation (induced by a BSDE) without making any regularity assumptions on the reward process ξ. We show that the value family can be aggregated by an optional process *Y* . We characterize the process *Y* as the $\mathcal{E}$ ƒ -Snell envelope of ξ. We also establish an infinitesimal characterization of the value process *Y* in terms of a Reflected BSDE with ξ as the obstacle. To do this, we first establish a comparison theorem for irregular RBS DEs. We give an application to the pricing of American options with irregular pay-off in an imperfect market model.

Pages: 28
Date: 2018-08-15
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://pub.uni-bielefeld.de/download/2930423/2930450 First Version, 2017 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:587

Access Statistics for this paper

More papers in Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University Contact information at EDIRC.
Bibliographic data for series maintained by Bettina Weingarten ().