On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope (Q5232208)
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scientific article; zbMATH DE number 7100168
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope |
scientific article; zbMATH DE number 7100168 |
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On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope (English)
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30 August 2019
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Doob-Meyer Decomposition
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optimal stopping
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Snell envelope
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stochastic control
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martingale duality
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smooth pasting
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