A Note on $G$- Optimal Stopping Problems
Probability
2013-05-10 v2
Abstract
We consider a class of discretionary stopping problems within the -framework. We first establish the well-definedness of the stopping problem under the -expectation, by showing the quasi-continuity of the stopped process. We then prove a verification theorem for -optimal stopping problem. One corollary is a direct proof for the well-known fact that the -optimal stopping problem is the same as the classical optimal stopping problem with appropriate parameters, when the payoff function is concave or convex.
Cite
@article{arxiv.1211.0598,
title = {A Note on $G$- Optimal Stopping Problems},
author = {Xin Guo and Chen Pan and Shige Peng},
journal= {arXiv preprint arXiv:1211.0598},
year = {2013}
}
Comments
This paper has been withdrawn by the authors due to some crucial error in some statements