Optional strong semimartingale inequalities for the strong Snell envelopes

DOI10.1515/rose-2024-2014MaRDI QIDQ6614289

Mouna Haddadi, Youssef Ouknine

Publication date: 7 October 2024

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

zbMATH Keywords

Snell envelopesoptional semimartingalesMertens decompositionDoob's optional sampling theoremoptional section theorem

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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