Representation of the Snell envelope as the future supremum process

MaRDI QIDQ5091465zbMATH OpenFDO

Authors

Publication date 26 July 2022

Full work available at URL http://www.viam.science.tsu.ge/old/report/vol46/Shashiashvili.pdf

zbMATH Keywords

dual representationfuture supremum processoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(10)

• The lower Snell envelope of smooth functions: an optional decomposition
• Snell envelope with small probability criteria
• On a semimartingale inequality for Snell bendings
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
• Semimartingale Inequalities for The Snell Envelopes
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• On the compensator in the Doob-Meyer decomposition of the Snell envelope
• On the Robustness of the Snell Envelope
• The stochastic balance equation for the American option value function and its gradient
• Optional strong semimartingale inequalities for the strong Snell envelopes

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