A weak dynamic principle for combined optimal stopping/ stochastic control with nonlinear expectations

Roxana Dumitrescu (HU Berlin)
Wednesday, November 18, 2015 - 5:15pm
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

We study a combined optimal control/stopping problem under a nonlinear expectation E^f induced by a BSDE with jumps, in a Markovian framework. This study is the first one in this context which considers the case of a noncontinuous reward function.We establish a weak dynamic programming principle (DPP), which extends that obtained by Bouchard-Touzi in the case of linear expectations to the case of E^f -expectation and Borelian terminal reward function.