Semimartingale Inequalities for The Snell Envelopes
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Publication:4311572
DOI10.1080/17442509308833827zbMath0805.60042OpenAlexW2128999120MaRDI QIDQ4311572
Publication date: 2 February 1995
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509308833827
Snell envelopes\(H^ p\) spacesGarsia inequalityTanaka-Meyer formuladistance in variation between the predictable components
Inequalities; stochastic orderings (60E15) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)
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