We consider the optimal stopping problem $inf_taumathcal{E}(X_tau)$ for a class of sublinear expectations $mathcal{E(cdot)}$ including the $G$-expectation. We define a corresponding Snell envelope $Y$ and show that the first hitting time $inf{t:Y_t=X_t}$ is optimal. We apply this result to the subhedging of American options under volatility uncertainty.
(Based on joint works with Ramon van Handel and Jianfeng Zhang.)
Speaker: Marcel Nutz, Department of Mathematics, Columbia University
Slides: (TBA)
Event Details
Optimal Stopping under Adverse Nonlinear Expectation
- Event Date: November 12, 2012
- Event End Date: November 12, 2012
- Event Start Time: 1:40 PM
- Event End Time: 2:40 PM
- Event Location: Hill 705
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Marcel Nutz, Department of Mathematics, Columbia University