The lower Snell envelope of smooth functions: an optional decomposition

DOI10.1214/18-ECP117zbMath1390.60139OpenAlexW2788554781MaRDI QIDQ1748562

Erick Treviño Aguilar

Publication date: 11 May 2018

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ecp/1519722242

zbMATH Keywords

optimal stoppingsemimartingaleslower Snell envelope

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17) Financial applications of other theories (91G80)

Related Items (1)

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Cites Work

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• Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
• A general version of the fundamental theorem of asset pricing
• Optional decomposition and Lagrange multipliers
• Minimax theorems for American options without time-consistency
• Optimal stopping under ambiguity in continuous time
• Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
• Stochastic finance. An introduction in discrete time

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