Grigorova, M, Imkeller, P, Ouknine, Y et al. (1 more author) (2020) Optimal stopping with f-expectations: The irregular case. Stochastic Processes and their Applications, 130 (3). pp. 1258-1288. ISSN 0304-4149
Abstract
We consider the optimal stopping problem with non-linear f-expectation (induced by a BSDE) without making any regularity assumptions on the payoff process ξ and in the case of a general filtration. We show that the value family can be aggregated by an optional process Y. We characterize the process Y as the Ef-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 some useful properties of irregular RBSDEs, in particular an existence and uniqueness result and a comparison theorem.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2019 Elsevier B.V. All rights reserved. This is an author produced version of a paper published in Stochastic Processes and their Applications. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Reflected backward stochastic differential equation; Non-linear optimal stopping; Ef,-Mertens decomposition; General filtration; American option; Tanaka-type formula |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 05 Sep 2019 14:55 |
Last Modified: | 21 May 2020 00:39 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.spa.2019.05.001 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:150325 |