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Preview of Optimal Stopping
🔗 Source: dornsife.usc.edu
📊 Size: 380 KB
👤 Author: Ibrahim Ekren
⬇️ Downloads: 127

Summary

The authors consider optimal stopping of a bounded c`adl`ag process X under a nonlinear expectation operator E, defined as the supremum of expectations over a weakly compact but nondominated family of probability measures. They introduce the nonlinear Snell envelope Y and prove it is an E-supermartingale and an E-martingale up to its first hitting time of the obstacle X, under an additional uniform continuity property of X. This result extends the Snell envelope characterization to the context of nonlinear expectation and is crucial for the theory of viscosity solutions of path-dependent PDEs.

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Description

The authors consider optimal stopping of a bounded c`adl`ag process X under a nonlinear expectation operator E, defined as the supremum of expectations over a...

Technical Information

  • File Format: PDF
  • File Size: 380 KB
  • Pages: 35
  • Language: EN
  • Author: Ibrahim Ekren
  • Total Downloads: 127
  • Last Updated: 1 week ago

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