文章基本信息

标题：Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
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作者：Erick Treviño Aguilar
期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2017
卷号：31
期号：1
页码：194-213
DOI：10.1214/16-BJPS309
语种：English
出版社：Brazilian Statistical Association
摘要：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.