Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324287 
Year of Publication: 
2022
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 721
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we investigate a new approach to the optimal stopping problem under g-expectation and the related pricing of American options under Knightian uncertainty. Our results are also applied to a (non-linear) Skorokhod-type obstacle problem.
Subjects: 
Stochastic representation
g-expectation
Optimal stopping problem
Skorokhod problem
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Working Paper

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