A Note on $G$- Optimal Stopping Problems

Xin Guo; Chen Pan; Shige Peng

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arXiv · 1211.0598

A Note on $G$- Optimal Stopping Problems

Xin Guo·Chen Pan·Shige Peng

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Abstract

We consider a class of discretionary stopping problems within the $G$-framework. We first establish the well-definedness of the stopping problem under the $G$-expectation, by showing the quasi-continuity of the stopped process. We then prove a verification theorem for $G$-optimal stopping problem. One corollary is a direct proof for the well-known fact that the $G$-optimal stopping problem is the same as the classical optimal stopping problem with appropriate parameters, when the payoff function is concave or convex.

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Xin Guo, Chen Pan, Shige Peng. 2013-05-09. A Note on $G$- Optimal Stopping Problems. https://arxiv.org/abs/1211.0598

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