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

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.