Arbeitspapier
Optimal stopping with f-expectations: The irregular case
We consider the optimal stopping problem with non-linear f-expectation (induced by a BSDE) without making any regularity assumptions on the reward process xi. 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 xi. We also establish an infinitesimal characterization of the value process Y in terms of a Reflected BSDE with xi 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.
- Language
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Englisch
- Bibliographic citation
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Series: Center for Mathematical Economics Working Papers ; No. 587
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Grigorova, Miryana
Imkeller, Peter
Ouknine, Youssef
Quenze, Marie-Claire
- Event
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Veröffentlichung
- (who)
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Bielefeld University, Center for Mathematical Economics (IMW)
- (where)
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Bielefeld
- (when)
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2017
- Handle
- URN
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urn:nbn:de:0070-pub-29304233
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Grigorova, Miryana
- Imkeller, Peter
- Ouknine, Youssef
- Quenze, Marie-Claire
- Bielefeld University, Center for Mathematical Economics (IMW)
Time of origin
- 2017
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