Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324263 
Authors: 
Year of Publication: 
2023
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 718
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
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.
Subjects: 
nonlinear expectations
optimal stopping
optimal multiple stopping
aggregation
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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