Optimal stopping with f -expectations: the irregular case

Abstract : We consider the optimal stopping problem with non-linear f-expectation (induced by a BSDE) without making any regularity assumptions on the pay-off process $\xi$. We show that the value family can be aggregated by an optional process Y. We characterize the process Y as the $\mathcal{E}^f$-Snell envelope of $\xi$. We also establish an infinitesimal characterization of the value process Y in terms of a Reflected BSDE with $\xi$ as the obstacle. This characterization is established by first showing existence and uniqueness for the Reflected BSDE with irregular obstacle and also a comparison theorem.
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https://hal.archives-ouvertes.fr/hal-01403616
Contributeur : Miryana Grigorova <>
Soumis le : samedi 26 novembre 2016 - 20:03:01
Dernière modification le : jeudi 27 avril 2017 - 09:46:11
Document(s) archivé(s) le : mardi 21 mars 2017 - 07:00:08

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  • HAL Id : hal-01403616, version 1
  • ARXIV : 1611.09179

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Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez. Optimal stopping with f -expectations: the irregular case. 2016. <hal-01403616>

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