The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332): Difference between revisions

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Latest revision as of 16:42, 25 June 2024

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The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
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    The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (English)
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    30 March 2007
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    domineering claim
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    optimal stopping times
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    pathwise optimality
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    American and Bermudan options
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    Snell envelope
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    multiplicative decomposition
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