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

DOI10.1214/16-BJPS309zbMath1380.60049MaRDI QIDQ519744

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

robustnessoptimal stoppingsemimartingalesmodel uncertaintySnell envelopes

Mathematics Subject Classification ID

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

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