论文标题
G-Hoppect和应用下的随机表示：离散的时间案例
Stochastic representation under g-expectation and applications: the discrete time case
论文作者
论文摘要
在本文中，我们解决了（非线性）G-期望下离散时间中的随机表示问题。我们建立了解决方案的存在和独特性，以及解决方案的特征。作为应用程序，我们研究了一种新的方法，以解决G-Hoppection和Knightian不确定性下的美国期权的相关定价。我们的结果还应用于（非线性）Skorokhod型障碍物问题。
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.
