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verification. (April 2012) |
The Snell envelope, used in stochastics and mathematical finance, is the smallest supermartingale dominating a stochastic process. The Snell envelope is named after James Laurie Snell.
Given a filtered probability space and an absolutely continuous probability measure then an adapted process is the Snell envelope with respect to of the process if
Given a (discrete) filtered probability space and an absolutely continuous probability measure then the Snell envelope with respect to of the process is given by the recursive scheme
where is the join (in this case equal to the maximum of the two random variables). [1]
This article needs additional citations for
verification. (April 2012) |
The Snell envelope, used in stochastics and mathematical finance, is the smallest supermartingale dominating a stochastic process. The Snell envelope is named after James Laurie Snell.
Given a filtered probability space and an absolutely continuous probability measure then an adapted process is the Snell envelope with respect to of the process if
Given a (discrete) filtered probability space and an absolutely continuous probability measure then the Snell envelope with respect to of the process is given by the recursive scheme
where is the join (in this case equal to the maximum of the two random variables). [1]