A Note on G- Optimal Stopping Problems

arXiv1211.0598MaRDI QIDQ6236882FDOQ6236882

Authors: Xin Guo, Chen Pan, Shige Peng 

Publication date: 3 November 2012

Abstract: We consider a class of discretionary stopping problems within the $G$-framework. We first establish the well-definedness of the stopping problem under the $G$-expectation, by showing the quasi-continuity of the stopped process. We then prove a verification theorem for $G$-optimal stopping problem. One corollary is a direct proof for the well-known fact that the $G$-optimal stopping problem is the same as the classical optimal stopping problem with appropriate parameters, when the payoff function is concave or convex.

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Existence theories for free problems in two or more independent variables (49J10) Optimality conditions for free problems in two or more independent variables (49K10)

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