{"paper":{"title":"Optimal stopping with f -expectations: the irregular case","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC","q-fin.CP"],"primary_cat":"math.PR","authors_text":"Marie-Claire Quenez (LPMA), Miryana Grigorova, Peter Imkeller, Youssef Ouknine","submitted_at":"2016-11-28T15:22:39Z","abstract_excerpt":"We consider the optimal stopping problem with non-linear $f$-expectation (induced by a BSDE) without making any regularity assumptions on the reward process $\\xi$. and with general filtration. We show that the value family can be aggregated by an optional process $Y$. We characterize the process $Y$ as  the $\\mathcal{E}^f$-Snell envelope of $\\xi$. We also establish an infinitesimal characterization of the value process $Y$ in terms of a Reflected BSDE with $\\xi$ as the obstacle.  To do this, we first establish a comparison theorem for irregular RBSDEs.  We give an application to the pricing of"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1611.09179","kind":"arxiv","version":5},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}