Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; … - 2017 - This version: 19 July 2017
We consider the optimal stopping problem with non-linear f-expectation (induced by a BSDE) without making any regularity assumptions on the reward process xi. We show that the value family can be aggregated by an optional process Y . We characterize the process Y as the Ef-Snell envelope of xi....