Optimal multiple stopping problem under nonlinear expectation

Abstract In this paper, we study the optimal multiple stopping problem under filtration-consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appropriate assumptions, rather than process that right-continuous with left limits. We first construct time for single problem, which no longer hitting processes. then prove induction value function can be interpreted as one associated new family, allows us to times. If family satisfies strong regularity conditions, show and functions aggregated progressive Hence, times represented