Optimal Multiple Stopping Problems Under g-expectation

Li H (2022)
Applied Mathematics and Optimization 85(2): 17.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
In this paper, we study the optimal multiple stopping problem under Knightian uncertainty both under discrete-time case and continuous-time case. The Knightian uncertainty is modeled by a single real-valued function g, which is the generator of a kind of backward stochastic differential equations. We show that the value function of the multiple stopping problem coincides with the one corresponding to a new reward sequence or process. For the discrete-time case, this problem can be solved by an induction method which is a straightforward generalization of the single stopping theory. For the continuous-time case, we furthermore need to establish the continuity of the new reward family. This result can be applied to the pricing problem for swing options in financial markets, which gives the holder of this contract at least two times rights to exercise it.
Stichworte
Optimal multiple stopping; Knightian uncertainty; g-expectation
Erscheinungsjahr
2022
Zeitschriftentitel
Applied Mathematics and Optimization
Band
85
Ausgabe
2
Art.-Nr.
17
ISSN
0095-4616
eISSN
1432-0606
Page URI
https://pub.uni-bielefeld.de/record/2962698

Zitieren

Li H. Optimal Multiple Stopping Problems Under g-expectation. Applied Mathematics and Optimization . 2022;85(2): 17.
Li, H. (2022). Optimal Multiple Stopping Problems Under g-expectation. Applied Mathematics and Optimization , 85(2), 17. https://doi.org/10.1007/s00245-022-09857-0
Li, H. (2022). Optimal Multiple Stopping Problems Under g-expectation. Applied Mathematics and Optimization 85:17.
Li, H., 2022. Optimal Multiple Stopping Problems Under g-expectation. Applied Mathematics and Optimization , 85(2): 17.
H. Li, “Optimal Multiple Stopping Problems Under g-expectation”, Applied Mathematics and Optimization , vol. 85, 2022, : 17.
Li, H.: Optimal Multiple Stopping Problems Under g-expectation. Applied Mathematics and Optimization . 85, : 17 (2022).
Li, Hanwu. “Optimal Multiple Stopping Problems Under g-expectation”. Applied Mathematics and Optimization 85.2 (2022): 17.

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