Stochastic representation under g-expectation and applications: the discrete time case
Probability
2022-01-21 v1
Abstract
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we investigate a new approach to the optimal stopping problem under g-expectation and the related pricing of American options under Knightian uncertainty. Our results are also applied to a (non-linear) Skorokhod-type obstacle problem.
Cite
@article{arxiv.2201.07930,
title = {Stochastic representation under g-expectation and applications: the discrete time case},
author = {Miryana Grigorova and Hanwu Li},
journal= {arXiv preprint arXiv:2201.07930},
year = {2022}
}