Optimal stopping under g-Expectation with -integrable reward process

DOI10.1017/JPR.2022.35MaRDI QIDQ5880995zbMATH OpenOpenAlexFDO

Authors M. C. Kim, Hun O, H. J. Hwang

Publication date 9 March 2023

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/jpr.2022.35

zbMATH Keywords

\(g\)-expectation\(L \exp \left(\mu\sqrt{2\log(1+L)}\right)\)-integrabilityoptimal stoppingreflected backward stochastic differential equation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(2)

• Optimal stopping under \(g\)-expectation with constraints
• Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation

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