Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/201611 
Year of Publication: 
2017
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 587
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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