{
  "id": "2201.07930",
  "version": "v1",
  "published": "2022-01-20T00:47:51.000Z",
  "updated": "2022-01-20T00:47:51.000Z",
  "title": "Stochastic representation under g-expectation and applications: the discrete time case",
  "authors": [
    "Miryana Grigorova",
    "Hanwu Li"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2022-01-20T00:47:51.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "discrete time case",
      "g-expectation",
      "application",
      "stochastic representation problem",
      "skorokhod-type obstacle problem"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}