Long-time asymptotic behaviour of the value function in nonlinear stopping problems

Authors Tomasz Klimsiak, Andrzej Rozkosz

Publication date 17 April 2020

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

arXiv classification

math.PR

Abstract: We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as result on stability, with respect to time horizon, of nonlinear

f

-expectations. We also study the rate of convergence. Many examples are given to illustrate our results. They include the analysis of time asymptotics of the fair prices of American options in a multidimensional exponential L'evy model.

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