Uncertainty and Probability Optimal Stopping under g–expectations: Theory

Optimal Stopping under g–expectations: Theory

Our Problem - recall

Let (Xt) be continuous, adapted, nonnegative process with

supt≤T|Xt|∈L^2 (P 0 ).

Letg=g(ω,t,z) be a standard concave driver (in particular,

Lipschitz–continuous).

Find a stopping timeτ≤Tthat maximizes

E 0 (Xτ).