UNSPECIFIED (1993) LOCAL-TIMES, OPTIMAL STOPPING AND SEMIMARTINGALES. ANNALS OF PROBABILITY, 21 (1). pp. 329-339. ISSN 0091-1798

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Abstract

Let X be a semimartingale, and S its Snell envelope. Under the assumption that X and S are continuous semimartingales in H-1, this article obtains a new, maximal, characterisation of S, and gives an application to the optimal stopping of functions of diffusions. We present a counterexample to the standard assertion that S is just ''a martingale on the go-region and X on the stop-region.''

Item Type:	Journal Article
Subjects:	Q Science > QA Mathematics
Journal or Publication Title:	ANNALS OF PROBABILITY
Publisher:	INST MATHEMATICAL STATISTICS
ISSN:	0091-1798
Date:	January 1993
Volume:	21
Number:	1
Number of Pages:	11
Page Range:	pp. 329-339
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/21485

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