Science-advisor
REGISTER info/FAQ
Login
username
password
     
forgot password?
register here
 
Research articles
  search articles
  reviews guidelines
  reviews
  articles index
My Pages
my alerts
  my messages
  my reviews
  my favorites
 
 
Stat
Members: 3431
Articles: 2'256'574
Articles rated: 2602

25 September 2022
 
  » arxiv » 1209.6601

 Article overview


Optimal Stopping under Nonlinear Expectation
Ibrahim Ekren ; Nizar Touzi ; Jianfeng Zhang ;
Date 28 Sep 2012
AbstractLet $X$ be a bounded c’adl’ag process with positive jumps defined on the canonical space of continuous paths. We consider the problem of optimal stopping the process $X$ under a nonlinear expectation operator $cE$ defined as the supremum of expectations over a weakly compact family of nondominated measures. We introduce the corresponding nonlinear Snell envelope. Our main objective is to extend the Snell envelope characterization to the present context. Namely, we prove that the nonlinear Snell envelope is an $cE-$supermartingale, and an $cE-$martingale up to its first hitting time of the obstacle $X$. This result is obtained under an additional uniform continuity property of $X$. We also extend the result in the context of a random horizon optimal stopping problem.
This result is crucial for the newly developed theory of viscosity solutions of path-dependent PDEs as introduced in Ekren et al., in the semilinear case, and extended to the fully nonlinear case in the accompanying papers (Ekren, Touzi, and Zhang, parts I and II).
Source arXiv, 1209.6601
Services Forum | Review | PDF | Favorites   
 
Visitor rating: did you like this article? no 1   2   3   4   5   yes

No review found.
 Did you like this article?

This article or document is ...
important:
of broad interest:
readable:
new:
correct:
Global appreciation:

  Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.

browser CCBot/2.0 (https://commoncrawl.org/faq/)






ScienXe.org
» my Online CV
» Free


News, job offers and information for researchers and scientists:
home  |  contact  |  terms of use  |  sitemap
Copyright © 2005-2022 - Scimetrica