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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Revision as of 12:13, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope |
scientific article |
Statements
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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