Optimal stopping for non-linear expectations - Part I

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:121

Article

Bayraktar, Erhan¹  Yao, Song¹ 

[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA

关键词: Nonlinear expectations;    Optimal stopping;    Snell envelope;    Stability;    g-expectations;   

DOI  :  10.1016/j.spa.2010.10.001

来源: Elsevier

【 摘 要 】

We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards. Our development is presented in two parts. In the first part, we will develop the stochastic analysis tools that will be essential in solving the optimal stopping problems, which will be presented in Bayraktar and Yao (2011) [1] (c) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

Free