On the strict value of the non-linear optimal stopping problem

DOI10.1214/20-ECP328zbMath1471.60056OpenAlexW3042637871MaRDI QIDQ2201525

Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez

Publication date: 29 September 2020

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ecp/1595037888

zbMATH Keywords

optimal stoppinggeneral filtrationnon-linear expectationirregular payoffstrict value processstrong \(\mathcal{E}^f \)-supermartingale

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Financial applications of other theories (91G80)

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