Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/324263 
Autor:innen: 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 718
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
In this paper, we study the optimal multiple stopping problem under the filtration consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appropriate assumptions rather than an RCLL process. We first construct the optimal stopping time for the single stopping problem, which is no longer given by the first hitting time of processes. We then prove by induction that the value function of the multiple stopping problem can be interpreted as the one for the single stopping problem associated with a new reward family, which allows us to construct the optimal multiple stopping times. If the reward family satisfies some strong regularity conditions, we show that the reward family and the value functions can be aggregated by some progressive processes. Hence, the optimal stopping times can be represented as hitting times.
Schlagwörter: 
nonlinear expectations
optimal stopping
optimal multiple stopping
aggregation
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
505.92 kB





Publikationen in EconStor sind urheberrechtlich geschützt.