Optimal Multiple Stopping Problem under Nonlinear Expectation

Hanwu Li
Additional contact information
Hanwu Li: Center for Mathematical Economics, Bielefeld University

No 718, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: In this paper, we study the optimal multiple stopping problem under the filtration consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appro- priate assumptions rather than an RCLL process. We first construct the optimal stopping time for the single stopping problem, which is no longer given by the first hitting time of processes. We then prove by induction that the value function of the multiple stopping problem can be interpret- ed as the one for the single stopping problem associated with a new reward family, which allows us to construct the optimal multiple stopping times. If the reward family satisfies some strong regularity conditions, we show that the reward family and the value functions can be aggregated by some progressive processes. Hence, the optimal stopping times can be represented as hitting times.

Keywords: nonlinear expectations; optimal stopping; optimal multiple stopping; aggregation (search for similar items in EconPapers)
Pages: 30
Date: 2025-07-09
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://pub.uni-bielefeld.de/download/3005043/3005044 First Version, 2023 (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:718

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 ().