English

Optimal Stopping with Random Maturity under Nonlinear Expectations

Probability 2016-07-08 v3 Optimization and Control Mathematical Finance

Abstract

We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities P\mathcal{P}. The maturity is specified as the hitting time to level 00 of some continuous index process at which the payoff process is even allowed to have a positive jump. When P\mathcal{P} is a collection of semimartingale measures, the optimal stopping problem can be viewed as a {\it discretionary} stopping problem for a player who can influence both drift and volatility of the dynamic of underlying stochastic flow.

Keywords

Cite

@article{arxiv.1505.07533,
  title  = {Optimal Stopping with Random Maturity under Nonlinear Expectations},
  author = {Erhan Bayraktar and Song Yao},
  journal= {arXiv preprint arXiv:1505.07533},
  year   = {2016}
}

Comments

Keywords: discretionary stopping, random maturity, controls in weak formulation, optimal stopping, nonlinear expectation, weak stability under pasting, Lipschitz continuous stopping time, dynamic programming principle, martingale approach

R2 v1 2026-06-22T09:42:48.803Z