On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope
DOI10.1137/18M1180931zbMath1420.60053arXiv1703.08413OpenAlexW2963738023WikidataQ127859612 ScholiaQ127859612MaRDI QIDQ5232208
Dominykas Norgilas, S. D. Jacka
Publication date: 30 August 2019
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.08413
optimal stoppingstochastic controlSnell envelopesmooth pastingDoob-Meyer Decompositionmartingale duality
Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)
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