Optimal Stopping with Random Maturity under Nonlinear Expectations

Erhan Bayraktar and Song Yao

Papers from arXiv.org

Abstract: We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of some continuous index process at which the payoff process is even allowed to have a positive jump. When $\mathcal{P}$ is a collection of semimartingale measures, the optimal stopping problem can be viewed as a {\it discretionary} stopping problem for a player who can influence both drift and volatility of the dynamic of underlying stochastic flow.

Date: 2015-05, Revised 2016-07
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Journal Article: Optimal stopping with random maturity under nonlinear expectations (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1505.07533

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