Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/201631 
Authors: 
Year of Publication: 
2018
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 606
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
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.
Subjects: 
optimal stopping
G-expectation
G-stopping time
Knightian uncertainty
JEL: 
H10
H30
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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