Stochastic representation under g-expectation and applications: the discrete time case

2022/01/20 by Grigorova, Miryana, Li, Hanwu
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2201.07930

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.

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