Optimal Stopping With ƒ-Expectations: the irregular case

Grigorova M, Imkeller P, Ouknine Y, Quenez M-C (2017) Center for Mathematical Economics Working Papers; 587.
Bielefeld: Center for Mathematical Economics.

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Abstract / Bemerkung
We consider the optimal stopping problem with non-linear ƒ-expectation (induced by a BSDE) without making any regularity assumptions on the reward process ξ. We show that the value family can be aggregated by an optional process *Y* . We characterize the process *Y* as the $\mathcal{E}$ƒ-Snell envelope of ξ. We also establish an infinitesimal characterization of the value process *Y* in terms of a Reflected BSDE with ξ as the obstacle. To do this, we first establish a comparison theorem for irregular RBS DEs. We give an application to the pricing of American options with irregular pay-off in an imperfect market model.
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587
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28
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Grigorova M, Imkeller P, Ouknine Y, Quenez M-C. Optimal Stopping With ƒ-Expectations: the irregular case. Center for Mathematical Economics Working Papers. Vol 587. Bielefeld: Center for Mathematical Economics; 2017.
Grigorova, M., Imkeller, P., Ouknine, Y., & Quenez, M. - C. (2017). Optimal Stopping With ƒ-Expectations: the irregular case (Center for Mathematical Economics Working Papers, 587). Bielefeld: Center for Mathematical Economics.
Grigorova, M., Imkeller, P., Ouknine, Y., and Quenez, M. - C. (2017). Optimal Stopping With ƒ-Expectations: the irregular case. Center for Mathematical Economics Working Papers, 587, Bielefeld: Center for Mathematical Economics.
Grigorova, M., et al., 2017. Optimal Stopping With ƒ-Expectations: the irregular case, Center for Mathematical Economics Working Papers, no.587, Bielefeld: Center for Mathematical Economics.
M. Grigorova, et al., Optimal Stopping With ƒ-Expectations: the irregular case, Center for Mathematical Economics Working Papers, vol. 587, Bielefeld: Center for Mathematical Economics, 2017.
Grigorova, M., Imkeller, P., Ouknine, Y., Quenez, M.-C.: Optimal Stopping With ƒ-Expectations: the irregular case. Center for Mathematical Economics Working Papers, 587. Center for Mathematical Economics, Bielefeld (2017).
Grigorova, Miryana, Imkeller, Peter, Ouknine, Youssef, and Quenez, Marie-Claire. Optimal Stopping With ƒ-Expectations: the irregular case. Bielefeld: Center for Mathematical Economics, 2017. Center for Mathematical Economics Working Papers. 587.
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