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arxiv: 1505.07533 · v3 · pith:EZYJJXIInew · submitted 2015-05-28 · 🧮 math.PR · math.OC· q-fin.MF

Optimal Stopping with Random Maturity under Nonlinear Expectations

classification 🧮 math.PR math.OCq-fin.MF
keywords stoppingmaturityoptimalproblemmathcalnonlinearprocessrandom
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We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of some continuous index process at which the payoff process is even allowed to have a positive jump. When $\mathcal{P}$ 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.

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