Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
From MaRDI portal
(Redirected from Publication:2869977)
Recommendations
- American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.
- Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
- The lower Snell envelope of smooth functions: an optional decomposition
- Functional convergence of Snell envelopes: Applications to American options approximations
- On a discretization procedure for the stopping time problem
Cites work
- Convex risk measures and the dynamics of their penalty functions
- Hedging American contingent claims with constrained portfolios
- Maxmin expected utility with non-unique prior
- On the pricing of American options
- Optimal Stopping With Multiple Priors
- Optional decompositions under constraints
- Recursive multiple-priors.
- Stochastic process measurability conditions
- Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
Cited in
(5)- A Doob-Meyer decomposition under model ambiguity: the case of compactness
- The lower Snell envelope of smooth functions: an optional decomposition
- Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
- Minimax theorems for American options without time-consistency
- American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.
This page was built for publication: Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2869977)
