Optimal stopping under nonlinear expectation (Q404122)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Optimal stopping under nonlinear expectation
scientific article

    Statements

    Optimal stopping under nonlinear expectation (English)
    0 references
    0 references
    0 references
    0 references
    4 September 2014
    0 references
    This paper studies the optimal stopping problem on a weakly compact but non-dominated family of probability measures. The major aim of the paper is to generalize the Snell envelope characterization to the nonlinear case. Under a nonlinear expectation operator, the corresponding Snell envelope is a supermartingale, and furthermore a martingale up to its first hitting time of the obstacle in terms of the driving process with bounded cadlag paths and positive jumps. The results obtained in the paper are important for the recent studies in this area.
    0 references
    optimal stopping
    0 references
    nonlinear expectation
    0 references
    Snell envelope
    0 references
    martingale
    0 references
    supermartingale
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references