The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1080/17442500601051914 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W3122935997 / rank | |||
Normal rank |
Revision as of 20:47, 19 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)
0 references
30 March 2007
0 references
domineering claim
0 references
optimal stopping times
0 references
pathwise optimality
0 references
American and Bermudan options
0 references
Snell envelope
0 references
multiplicative decomposition
0 references