Optimal Stopping for Non-linear Expectations

Details Optimal Stopping for Non-linear Expectations Optimal Stopping for Non-linear Expectations

2009-05-22

arxiv.org/abs/0905.3601v5

Stochastic Processes and Their Applications (2011), Vol 121 (2), 185-264

Mathematics

Optimization and Control

Key Words: Nonlinear Expectations, Optimal Stopping, Snell envelope, Stability, g-expectations

Scientific paper

We develop a theory for solving continuous time optimal stopping problems for
non-linear expectations. Our motivation is to consider problems in which the
stopper uses risk measures to evaluate future rewards.

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