A Note on G- Optimal Stopping Problems
From MaRDI portal
A Note on $G$- Optimal Stopping Problems
Existence theories for free problems in two or more independent variables (49J10) Optimality conditions for free problems in two or more independent variables (49K10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Abstract: We consider a class of discretionary stopping problems within the -framework. We first establish the well-definedness of the stopping problem under the -expectation, by showing the quasi-continuity of the stopped process. We then prove a verification theorem for -optimal stopping problem. One corollary is a direct proof for the well-known fact that the -optimal stopping problem is the same as the classical optimal stopping problem with appropriate parameters, when the payoff function is concave or convex.
This page was built for publication: A Note on $G$- Optimal Stopping Problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6236882)
