Optimal stopping under $\textit{G}$-expectation
Hanwu Li
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Hanwu Li: Center for Mathematical Economics, Bielefeld University
No 606, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University
Abstract:
We develop a theory of optimal stopping problems under *G*-expectation framework. We first define a new kind of random times, called *G*-stopping times, which is suitable for this problem. For the discrete time case with finite horizon, the value function is defined backwardly and we show that it is the smallest *G*-supermartingale dominating the payoff process and the optimal stopping time exists. Then we extend this result both to the infinite horizon and to the continuous time case. We also establish the relation between the value function and solution of reflected BSDE driven by *G*-Brownian motion.
Keywords: optimal stopping; $\textit{G}$-expectation; $\textit{G}$-stopping time; Knightian uncertainty (search for similar items in EconPapers)
Date: 2019-01-17
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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:606
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