TY  - GEN
AB  - We consider the optimal stopping problem with non-linear  ƒ-expectation (induced by a BSDE) without making any regularity assumptions on the reward process ξ. We show that the value family can be aggregated by an optional process *Y* . We characterize the process *Y* as the $\mathcal{E}$<sup>ƒ</sup>-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 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.
DA  - 2017
LA  - eng
PY  - 2017
SN  - 0931-6558
SP  - 28-
TI  - Optimal Stopping With ƒ-Expectations: the irregular case
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29304233
Y2  - 2024-11-22T21:29:11
ER  -