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The problem of optimal stopping via gexpectations

ZHAO Guo-qing   

  1. School of Math. ＆ System Sci., Shandong Univ., Jinan 250100, Shandong, China
  • Received:2006-09-05 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
  • Contact: ZHAO Guo-qing

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Abstract: With the help of g-expectations, a generalized form of the classical optimal stopping is given for a continuousparameter process, which gives the nonlinear form. It accordingly expands the existence region of the snell envelope.

Key words: snell envelope , optimal stopping, g-expectations, backward stochastic differential equation

CLC Number: 

  • O121
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