Xin Cui — Quant • HFT • ML

Optimal stopping problem solved for irregular reward processes without regularity assumptions.

problem Optimal stopping with non-linear

f

-expectation for irregular reward processes.

method Characterization of value process

Y

\mathcal{E}^f

-Snell envelope of

ξ

; infinitesimal characterization via Reflected BSDE.

result Value process

Y

can be aggregated by an optional process

Y

arXiv research