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Stochastic representation under g-expectation and applications : the discrete time case
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Grigorova, Miryana and Li, Hanwu (2023) Stochastic representation under g-expectation and applications : the discrete time case. Journal of Mathematical Analysis and Applications, 518 (1). 126703. doi:10.1016/j.jmaa.2022.126703 ISSN 0022-247X.
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Official URL: https://doi.org/10.1016/j.jmaa.2022.126703
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.
| Item Type: | Journal Article | ||||||||
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| Subjects: | Q Science > QA Mathematics | ||||||||
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||
| SWORD Depositor: | Library Publications Router | ||||||||
| Library of Congress Subject Headings (LCSH): | Stochastic differential equations, Discrete-time systems, Optimal stopping (Mathematical statistics) | ||||||||
| Journal or Publication Title: | Journal of Mathematical Analysis and Applications | ||||||||
| Publisher: | Elsevier | ||||||||
| ISSN: | 0022-247X | ||||||||
| Official Date: | 1 February 2023 | ||||||||
| Dates: |
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| Volume: | 518 | ||||||||
| Number: | 1 | ||||||||
| Article Number: | 126703 | ||||||||
| DOI: | 10.1016/j.jmaa.2022.126703 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| Date of first compliant deposit: | 21 October 2022 | ||||||||
| RIOXX Funder/Project Grant: |
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