The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope

DOI10.1080/17442500601051914zbMath1235.60039OpenAlexW3122935997MaRDI QIDQ3429332

Farshid Jamshidian

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601051914

zbMATH Keywords

multiplicative decompositionSnell envelopeoptimal stopping timesAmerican and Bermudan optionspathwise optimalitydomineering claim

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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