On a Semimartingale Inequality for Snell Envelopes

DOI10.1137/1137111zbMath0788.60058OpenAlexW2026228128MaRDI QIDQ4030708

M. A. Shashiashvili

Publication date: 1 April 1993

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1137111

zbMATH Keywords

Doob-Meyer decompositionSnell envelopescàdlàg semimartingalessuper-martingale majorant

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

This page was built for publication: On a Semimartingale Inequality for Snell Envelopes