Reflected backward stochastic difference equations and optimal stopping problems under g-expectation
Reflected backward stochastic difference equations and optimal stopping problems under g-expectation
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DOI：
10.1214/23-ejp989
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发表时间：
2013-05
影响因子：
1.4
通讯作者：
Lifen An;Samuel N. Cohen;Shaolin Ji
中科院分区：
文献类型：
--
作者：
Lifen An;Samuel N. Cohen;Shaolin Ji
In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are established under mild assumptions. The connections between RBSDEs and optimal stopping problems are also given. Then we apply the obtained results to explore optimal stopping problems under $g$-expectation. Finally, we study the pricing of American contingent claims in our context.
