The duality of optimal exercise and domineering claims: a Doob-Meyer decomposition approach to the Snell envelope

Author: Jamshidian Farshid  

Publisher: Taylor & Francis Ltd

ISSN: 1744-2508

Source: Stochastics: An International Journal of Probability and Stochastic Processes, Vol.79, Iss.1-2, 2007-02, pp. : 27-60

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Abstract