On the Robustness of the Snell Envelope

DOI10.1137/100798016MaRDI QIDQ5388677zbMATH OpenOpenAlexFDO

Authors Pierre Del Moral, Peng Hu, Nadia Oudjane, Bruno Rémillard

Publication date 19 April 2012

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://hal.inria.fr/inria-00487103v4/file/RR-7303-v4.pdf

zbMATH Keywords

American option pricinggenealogical treesinteracting particle modeloptimal stoppingSnell envelope

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(7)

• Functional convergence of Snell envelopes: Applications to American options approximations
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Snell envelope with small probability criteria
• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
• Sequential design for optimal stopping problems
• On a discretization procedure for the stopping time problem
• Approximation of the Snell Envelope and American Options Prices in dimension one

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