Optimal stopping under nonlinear expectation (Q404122)

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.