Optimal stopping under \(g\)-expectation with constraints (Q1949682)

The author studies an optimal stopping problem under \(g_{\Gamma}\)-expectation to optimize \[ \sup_{\tau\in S_{[0,T]}}E^{g,\phi}_{0}(L_{\tau}), \] where \(E^{g,\phi}_{0}\) is the \(g_{\Gamma}\)-expectation, introduced by \textit{S. G. Peng} and \textit{M. Y. Xu} [Bernoulli 16, No. 3, 614--640 (2010; Zbl 1284.60120)], using constrained backward stochastic differential equations; here, \(L_{t}\) is a reward process, \(S_{[0,T]}\) is the set of stopping times. Some examples are presented as well.