Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
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Publication:2869977
DOI10.1080/14697688.2010.488653zbMath1279.91157MaRDI QIDQ2869977
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.488653
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Unnamed Item, Minimax theorems for American options without time-consistency, The lower Snell envelope of smooth functions: an optional decomposition
Cites Work
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