ﻻ يوجد ملخص باللغة العربية
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.
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 const
The objective of this paper is to establish the decomposition theorem for supermartingales under the $G$-framework. We first introduce a $g$-nonlinear expectation via a kind of $G$-BSDE and the associated supermartingales. We have shown that this kin
A real valued function defined on}$mathbb{R}$ {small is called}$g${small --convex if it satisfies the following textquotedblleft generalized Jensens inequalitytextquotedblright under a given}$g${small -expectation, i.e., }$h(mathbb{E}^{g}[X])leq math
This paper studies optimal Public Private Partnerships contract between a public entity and a consortium, in continuous-time and with a continuous payment, with the possibility for the public to stop the contract. The public (she) pays a continuous r
In this article we study and classify optimal martingales in the dual formulation of optimal stopping problems. In this respect we distinguish between weakly optimal and surely optimal martingales. It is shown that the family of weakly optimal and su