Stochastic Processes and Their Applications, 121(2), 185-211, 2011
22 Pages Posted: 15 Feb 2014 Last revised: 10 Jul 2016
Date Written: May 22, 2009
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. Our development is presented in two parts. In the first part, we will develop the stochastic analysis tools that will be essential in solving the optimal stopping problems, which will be presented in part II.
Keywords: Nonlinear expectations, Optimal stopping, Snell envelope, Stability, g-expectations
Suggested Citation: Suggested Citation
Bayraktar, Erhan and Yao, Song, Optimal Stopping for Non-Linear Expectations - Part I (May 22, 2009). Stochastic Processes and Their Applications, 121(2), 185-211, 2011. Available at SSRN: https://ssrn.com/abstract=2395426