On a Semimartingale Inequality for Snell Envelopes

DOI10.1137/1137111zbMATH Open0788.60058OpenAlexW2026228128MaRDI QIDQ4030708FDOQ4030708

Authors: M. A. Shashiashvili 

Publication date: 1 April 1993

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1137111

zbMATH Keywords

Doob-Meyer decompositionSnell envelopescàdlàg semimartingalessuper-martingale majorant

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cited In (2)

• On the Robustness of the Snell Envelope
• Snell envelope with small probability criteria

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