Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty

DOI10.1214/16-BJPS309MaRDI QIDQ519744zbMATH OpenFDO

Authors Erick Treviño Aguilar

Publication date 5 April 2017

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bjps/1485334831

zbMATH Keywords

robustnessmodel uncertaintyoptimal stoppingsemimartingalesSnell envelopes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

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Cited in

(3)

• A Doob-Meyer decomposition under model ambiguity: the case of compactness
• Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
• The lower Snell envelope of smooth functions: an optional decomposition

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