Optimal stopping under g-Expectation with -integrable reward process

DOI10.1017/jpr.2022.35OpenAlexW4296022972MaRDI QIDQ5880995

Hun O, Mun-Chol Kim, H. J. Hwang

Publication date: 9 March 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2022.35

zbMATH Keywords

optimal stopping\(g\)-expectationreflected backward stochastic differential equation\(L \exp \left(\mu\sqrt{2\log(1+L)}\right)\)-integrability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

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