Optimal stopping with random maturity under nonlinear expectations

DOI10.1016/J.SPA.2016.12.001zbMATH Open1373.60078arXiv1505.07533OpenAlexW3122503459MaRDI QIDQ2360243FDOQ2360243

Authors: Erhan Bayraktar, Song Yao 

Publication date: 30 June 2017

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

Abstract: We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $mathcalP$. The maturity is specified as the hitting time to level $0$ of some continuous index process at which the payoff process is even allowed to have a positive jump. When $mathcalP$ is a collection of semimartingale measures, the optimal stopping problem can be viewed as a {it discretionary} stopping problem for a player who can influence both drift and volatility of the dynamic of underlying stochastic flow.

Full work available at URL: https://arxiv.org/abs/1505.07533

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zbMATH Keywords

optimal stoppingnonlinear expectationdynamic programming principlemartingale approachdiscretionary stoppingcontrols in weak formulationLipschitz continuous stopping timerandom maturityweak stability under pasting

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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