TY  - GEN
AB  - We develop a theory of optimal stopping problems under *G*-expectation framework. We first
define a new kind of random times, called *G*-stopping times, which is suitable for this problem. For
the discrete time case with finite horizon, the value function is defined backwardly and we show
that it is the smallest *G*-supermartingale dominating the payoff process and the optimal stopping
time exists. Then we extend this result both to the infinite horizon and to the continuous time
case. We also establish the relation between the value function and solution of reflected BSDE
driven by *G*-Brownian motion.
DA  - 2018
KW  - optimal stopping
KW  - $\textit{G}$-expectation
KW  - $\textit{G}$-stopping time
KW  - Knightian uncertainty
LA  - eng
PY  - 2018
SN  - 0931-6558
TI  - Optimal stopping under $\textit{G}$-expectation
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29331266
Y2  - 2024-11-22T10:55:18
ER  -