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arXiv · 1810.08485

On Lenglart's Theory of Meyer-sigma-fields and El Karoui's Theory of Optimal Stopping

Peter Bank·David Besslich
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Abstract

We summarize the general results of El Karoui [1981] on optimal stopping problems for processes which are measurable with respect to Meyer-$\sigma$-fields. Meyer-$\sigma$-fields are due to Lenglart [1980] and include the optional and predictable $\sigma$-field as special cases. Novel contributions of our work are path regularity results for Meyer measurable processes and limit results for Meyer-projections. We will also clarify a minor issue in the proof of the optimality result in El Karoui [1981]. These extensions were inspired and needed for the proof of a stochastic representation theorem in Bank and Besslich [2018a]. As an application of this theorem, we provide an alternative approach to optimal stopping in the spirit of Bank and F{\"o}llmer [2003].

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Peter Bank, David Besslich. 2018-10-19. On Lenglart's Theory of Meyer-sigma-fields and El Karoui's Theory of Optimal Stopping. https://arxiv.org/abs/1810.08485

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