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Titel
Optimal stopping under G-expectation / Hanwu Li
VerfasserLi, Hanwu In der Gemeinsamen Normdatei der DNB nachschlagen
ErschienenBielefeld : Center for Mathematical Economics (IMW), December 2018
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Elektronische Ressource
Umfang1 Online-Ressource (29 Seiten)
SerieCenter for Mathematical Economics Working papers ; 606
URNurn:nbn:de:hbz:6:2-107848 Persistent Identifier (URN)
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Optimal stopping under G-expectation [0.43 mb]
Zusammenfassung

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.

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