Uncertainty and Probability Optimal Stopping

Assumptions

(Xt) bounded by aP–uniformly integrable random variable

there exists a reference measureP^0 : allP∈Pare equivalent toP^0

(wlog, Tutsch, PhD 07)

agent knows all null sets,

Epstein/Marinacci 07

Pweakly compact inL^1

(

Ω,F,P^0

)

inf is always min,

F ̈ollmer/Schied 04, Chateauneuf, Maccheroni, Marinacci, Tallon 05