Optimal stopping under nonlinear expectation

DOI10.1016/J.SPA.2014.04.006zbMATH Open1325.60061arXiv1209.6601OpenAlexW2962917010MaRDI QIDQ404122FDOQ404122

Authors: Ibrahim Ekren, Nizar Touzi, Jianfeng Zhang 

Publication date: 4 September 2014

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

Abstract: Let $X$ be a bounded c`adl`ag process with positive jumps defined on the canonical space of continuous paths. We consider the problem of optimal stopping the process $X$ under a nonlinear expectation operator $cE$ defined as the supremum of expectations over a weakly compact family of nondominated measures. We introduce the corresponding nonlinear Snell envelope. Our main objective is to extend the Snell envelope characterization to the present context. Namely, we prove that the nonlinear Snell envelope is an $cE-$supermartingale, and an $cE-$martingale up to its first hitting time of the obstacle $X$. This result is obtained under an additional uniform continuity property of $X$. We also extend the result in the context of a random horizon optimal stopping problem. This result is crucial for the newly developed theory of viscosity solutions of path-dependent PDEs as introduced in Ekren et al., in the semilinear case, and extended to the fully nonlinear case in the accompanying papers (Ekren, Touzi, and Zhang, parts I and II).

Full work available at URL: https://arxiv.org/abs/1209.6601

Recommendations

• Optimal stopping for non-linear expectations. I
• Optimal stopping for non-linear expectations. II
• Optimal stopping under adverse nonlinear expectation and related games
• The problem of optimal stopping via \(g\)-expectations
• Optimal multiple stopping problem under nonlinear expectation

zbMATH Keywords

martingaleoptimal stoppingnonlinear expectationSnell envelopesupermartingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• On viscosity solutions of path dependent PDEs
• Controlled Markov processes and viscosity solutions
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Title not available (Why is that?)
• Title not available (Why is that?)
• User’s guide to viscosity solutions of second order partial differential equations
• Wellposedness of second order backward SDEs
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Constructing sublinear expectations on path space
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Dual formulation of second order target problems
• Optimal stopping for dynamic convex risk measures
• Tightness results for laws of diffusion processes application to stochastic mechanics
• Properties of hitting times for \(G\)-martingales and their applications

Cited In (52)

• A finite-dimensional approximation for partial differential equations on Wasserstein space
• On the controller-stopper problems with controlled jumps
• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Second-order BSDEs with general reflection and game options under uncertainty
• A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA
• Optimal stopping with \(f\)-expectations: the irregular case
• Nonconcave robust optimization with discrete strategies under Knightian uncertainty
• Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
• The lower Snell envelope of smooth functions: an optional decomposition
• Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty
• Optimal multiple stopping problems under \(g\)-expectation
• Optimal stopping: Bermudan strategies meet non-linear evaluations
• Optimal multiple stopping problem under nonlinear expectation
• A notion of viscosity solutions to second-order Hamilton-Jacobi-Bellman equations with delays
• Dynamic optimality in optimal variance stopping problems
• Optimal stopping in a shock model
• Optimal stopping for non-linear expectations. I
• Optimal stopping for non-linear expectations. II
• Adaptive robust control in continuous time
• Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
• On the compensator in the Doob-Meyer decomposition of the Snell envelope
• Dynamic programming approach to reflected backward stochastic differential equations
• Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
• Title not available (Why is that?)
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• Optimal Stopping Under Probability Distortions
• Non-Markovian impulse control under nonlinear expectation
• Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs
• On viscosity solutions of path dependent PDEs
• Optimal Stopping of BSDEs with Constrained Jumps and Related Zero-Sum Games
• On undiscounted non-linear optimal multiple stopping
• On the strict value of the non-linear optimal stopping problem
• Optimal stopping with random maturity under nonlinear expectations
• Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
• Solving optimal stopping problems under model uncertainty via empirical dual optimisation
• Optimal stopping under adverse nonlinear expectation and related games
• Comparison of viscosity solutions of semilinear path-dependent PDEs
• Viscosity solutions of path-dependent PDEs with randomized time
• The problem of optimal stopping via \(g\)-expectations
• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• Exit times for semimartingales under nonlinear expectation
• A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
• Optimal stopping under uncertainty in drift and jump intensity
• Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
• Strong-viscosity solutions: classical and path-dependent PDEs
• Second order reflected backward stochastic differential equations
• On hedging American options under model uncertainty
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Nash equilibria for game contingent claims with utility-based hedging
• Optimal stopping with expectation constraints

This page was built for publication: Optimal stopping under nonlinear expectation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q404122)