Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimal stopping with f -expectations: the irregular case   We consider the optimal stopping problem with non-linear $f$-expectation
(induced by a BSDE) without making any regularity assumptions on the reward
process $\xi$. and with general filtration. We show that the value family can
be aggregated by an optional process $Y$. We characterize the process $Y$ as
the $\mathcal{E}^f$-Snell envelope of $\xi$. We also establish an infinitesimal
characterization of the value process $Y$ in terms of a Reflected BSDE with
$\xi$ as the obstacle. To do this, we first establish a comparison theorem for
irregular RBSDEs. We give an application to the pricing of American options
with irregular pay-off in an imperfect market model.

36
The categories of this paper are: cmp-lg
18
The categories of this paper are: econ
0
The categories of this paper are: hep-ph
34
The categories of this paper are: chem-ph
9
The categories of this paper are: nlin
33
The categories of this paper are: plasm-ph
14
The categories of this paper are: math-ph
13
The categories of this paper are: quant-ph
27
The categories of this paper are: comp-gas
6
The categories of this paper are: astro-ph
10
The categories of this paper are: q-bio
12
The categories of this paper are: nucl-th
30
The categories of this paper are: q-alg
31
The categories of this paper are: ao-sci
22
The categories of this paper are: chao-dyn
29
The categories of this paper are: funct-an