Stochastic representation under g-expectation and applications: the discrete time case
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Publication:6388697
DOI10.1016/J.JMAA.2022.126703arXiv2201.07930MaRDI QIDQ6388697FDOQ6388697
Authors: Miryana Grigorova, Hanwu Li 
Publication date: 19 January 2022
Abstract: In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we investigate a new approach to the optimal stopping problem under g-expectation and the related pricing of American options under Knightian uncertainty. Our results are also applied to a (non-linear) Skorokhod-type obstacle problem.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Discrete-time games (91A50)
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