Translator Disclaimer
February 2017 Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
Erick Treviño Aguilar
Braz. J. Probab. Stat. 31(1): 194-213 (February 2017). DOI: 10.1214/16-BJPS309

Abstract

Optimal stopping under model uncertainty is a recent topic under research. The classical approach to characterize the solution of optimal stopping is based on the Snell envelope which can be seen as the value process as time runs. The analogous concept under model uncertainty is the so-called lower Snell envelope and in this paper, we investigate its structural properties. We give conditions under which it is a semimartingale with respect to one of the underlying probability measures and show how to identify the finite variation process by a limiting procedure. An example illustrates that without our conditions, the semimartingale property does not hold in general.

Citation

Download Citation

Erick Treviño Aguilar. "Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty." Braz. J. Probab. Stat. 31 (1) 194 - 213, February 2017. https://doi.org/10.1214/16-BJPS309

Information

Received: 1 January 2015; Accepted: 1 February 2016; Published: February 2017
First available in Project Euclid: 25 January 2017

zbMATH: 1380.60049
MathSciNet: MR3601667
Digital Object Identifier: 10.1214/16-BJPS309

Rights: Copyright © 2017 Brazilian Statistical Association

JOURNAL ARTICLE
20 PAGES


SHARE
Vol.31 • No. 1 • February 2017
Back to Top