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Non-linear optimal stopping with Bermudan strategies: the infinite horizon case

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  • Miryana Grigorova
  • Ohood Aldalbahi

Abstract

In this paper, we consider an optimal stopping problem with infinite horizon, non-negative pay-offs and non-linear evaluations $\rho_{S,\tau}$ indexed by two indices: $S$ and $\tau$, where $S$ is the time of evaluation and $\tau$ is the time when the pay-off is revealed. The agent's stopping strategies are constrained to be in the set of so-called Bermudan stopping times $\Theta$. Under suitable assumptions on the non-linear evaluations $\rho$ and on the pay-off, we show that a dynamic programming principle holds in this framework. We investigate the existence of $\varepsilon$-optimal stopping times, as well as the existence of optimal stopping times. We show that an $\varepsilon$-optimal stopping time exists. We also prove that the first time when the value family hits the pay-off is optimal if and only if it is finite. We also provide Doob's type convergence for non-negative \emph{$(\Theta, \rho)$}-supermartingales in the case where $\rho_{S,\tau}=\rho_S$ depends on the first index only. We provide an example from BSDEs with infinite horizon.

Suggested Citation

  • Miryana Grigorova & Ohood Aldalbahi, 2026. "Non-linear optimal stopping with Bermudan strategies: the infinite horizon case," Papers 2608.08299, arXiv.org.
  • Handle: RePEc:arx:papers:2608.08299
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    References listed on IDEAS

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    1. Miryana Grigorova & Peter Imkeller & Elias Offen & Youssef Ouknine & Marie-Claire Quenez, 2017. "Reflected BSDEs when the obstacle is not right-continuous and optimal stopping," Post-Print hal-01141801, HAL.
    2. Miryana Grigorova & Peter Imkeller & Elias Offen & Youssef Ouknine & Marie-Claire Quenez, 2015. "Reflected BSDEs when the obstacle is not right-continuous and optimal stopping," Papers 1504.06094, arXiv.org, revised May 2017.
    3. Bayraktar, Erhan & Yao, Song, 2011. "Optimal stopping for non-linear expectations--Part I," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 185-211, February.
    4. Miryana Grigorova & Marie-Claire Quenez & Peng Yuan, 2025. "Non-linear Non-zero-Sum Dynkin Games with Bermudan Strategies," Journal of Optimization Theory and Applications, Springer, vol. 206(1), pages 1-20, July.
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