The lower Snell envelope of smooth functions: an optional decomposition
From MaRDI portal
Recommendations
- Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
- Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
- On the compensator in the Doob-Meyer decomposition of the Snell envelope
- Representation of the Snell envelope as the future supremum process
- Optimal stopping under nonlinear expectation
Cites work
- scientific article; zbMATH DE number 3676914 (Why is no real title available?)
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- A general version of the fundamental theorem of asset pricing
- American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.
- Minimax theorems for American options without time-consistency
- Optimal stopping under ambiguity in continuous time
- Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
- Optional decomposition and Lagrange multipliers
- Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
- Stochastic finance. An introduction in discrete time
- The structure of \(m\)-stable sets and in particular of the set of risk neutral measures
Cited in
(6)- Semimartingale Inequalities for The Snell Envelopes
- On the compensator in the Doob-Meyer decomposition of the Snell envelope
- Optional strong semimartingale inequalities for the strong Snell envelopes
- Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
- A Doob-Meyer decomposition under model ambiguity: the case of compactness
- Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
This page was built for publication: The lower Snell envelope of smooth functions: an optional decomposition
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1748562)
