Optimal stopping with \(f\)-expectations: the irregular case

DOI10.1016/j.spa.2019.05.001zbMath1471.60055arXiv1611.09179OpenAlexW2559079138MaRDI QIDQ2301478

Peter Imkeller, Miryana Grigorova, Marie-Claire Quenez, Youssef Ouknine

Publication date: 24 February 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.09179

zbMATH Keywords

American optionreflected backward stochastic differential equationgeneral filtrationnon-linear optimal stopping\( \mathcal{E}^f\)-Mertens decompositionTanaka-type formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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