Optimal stopping under g-expectation with constraints

DOI10.1016/J.ORL.2012.12.009MaRDI QIDQ1949682zbMATH OpenOpenAlexFDO

Authors Helin Wu

Publication date 14 May 2013

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2012.12.009

zbMATH Keywords

\(g_{\Gamma}\)-expectationconstrained optimal stopping problemmartingale methodreflected BSDEreward process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

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.

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(7)

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• Stochastic representation under \(g\)-expectation and applications: the discrete time case
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