Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance

DOI10.1214/009117907000000222zbMath1152.60038arXiv0804.2561OpenAlexW3122611119MaRDI QIDQ2482283

Asma Meziou, Nicole El Karoui

Publication date: 16 April 2008

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.2561

zbMATH Keywords

Lévy processesoptimal stoppingAmerican optionsportfolio insuranceconvex orderMax-Plus algebrarunning supremum processAzéma-Yor martingalesmartingale optimization with constraintssupermartingale decompositions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Related Items (6)

Expected Supremum Representation of the Value of a Singular Stochastic Control Problem ⋮ On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation ⋮ Pension funds with a minimum guarantee: a stochastic control approach ⋮ Long-term optimal portfolios with floor ⋮ CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE ⋮ On a stochastic representation theorem for Meyer-measurable processes

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