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LOCAL-TIMES, OPTIMAL STOPPING AND SEMIMARTINGALES
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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 | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | ANNALS OF PROBABILITY | ||||
Publisher: | INST MATHEMATICAL STATISTICS | ||||
ISSN: | 0091-1798 | ||||
Official Date: | January 1993 | ||||
Dates: |
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Volume: | 21 | ||||
Number: | 1 | ||||
Number of Pages: | 11 | ||||
Page Range: | pp. 329-339 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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