论文标题
在非线性停止问题中值函数的长期渐近行为
Long-time asymptotic behaviour of the value function in nonlinear stopping problems
论文作者
论文摘要
我们提供一般条件，以确保某些非线性停止问题的价值函数在有限的地平线上会收敛到无限视野的相应问题的值函数。我们的结果可以作为稳定性，相对于时间范围，非线性$ f $ - 期望的结果。我们还研究收敛速度。举例说明了我们的结果。它们包括对多维指数lévy模型中美国期权公平价格的时间渐近分析。
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as result on stability, with respect to time horizon, of nonlinear $f$-expectations. We also study the rate of convergence. Many examples are given to illustrate our results. They include the analysis of time asymptotics of the fair prices of American options in a multidimensional exponential Lévy model.
