The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
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Publication:3429332
DOI10.1080/17442500601051914zbMath1235.60039MaRDI QIDQ3429332
Publication date: 30 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500601051914
multiplicative decomposition; Snell envelope; optimal stopping times; American and Bermudan options; pathwise optimality; domineering claim
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
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