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On Minimax Duality in Optimal Stopping - MaRDI portal

On Minimax Duality in Optimal Stopping (Q4931852)

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scientific article; zbMATH DE number 5794016
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English
On Minimax Duality in Optimal Stopping
scientific article; zbMATH DE number 5794016

    Statements

    title
    On Minimax Duality in Optimal Stopping (English)
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    author
    Hans Rudolf Lerche
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    Mikhail A. Urusov
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    publication date
    1 October 2010
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    zbMATH Keywords
    Jamshidian's multiplicative minimax duality
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    martingale approach of Beibel and Lerche
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    optimal stopping
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    Snell envelope
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    Identifiers

    zbMATH DE Number
    5794016
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    OpenAlex ID
    W2012811971
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