2012/11/03 by Xin Guo, Guo, Xin, Chen Pan +3
Mathematics · #49J10 #49K10 #60G40 #60H30 #93E20 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:49J10 #msc:49K10 #msc:60G40 #msc:60H30 #msc:93E20
paper · pdf · doi:10.48550/arxiv.1211.0598
This paper has been withdrawn by the authors due to some crucial error in some statements
arxiv created 2013/05/09 · arxiv updated 2013/05/10
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.