Optimal Stopping under G-expectation

2018/12/20 by Hanwu Li, Li, Hanwu · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1812.08626

openalex publication_date 2018/12/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We develop a theory of optimal stopping problems under G-expectation framework. We first define a new kind of random times, called G-stopping times, which is suitable for this problem. For the discrete time case with finite horizon, the value function is defined backwardly and we show that it is the smallest G-supermartingale dominating the payoff process and the optimal stopping time exists. Then we extend this result both to the infinite horizon and to the continuous time case. We also establish the relation between the value function and solution of reflected BSDE driven by G-Brownian motion.

Citations

• Extended Conditional G-Expectations and Related Stopping Times

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