Snell envelope

GPTKB entity

Statements (14)
Predicate Object
gptkbp:instanceOf gptkb:mathematical_concept
gptkbp:application stochastic control
American option pricing
gptkbp:defines smallest supermartingale dominating a given process
gptkbp:field gptkb:probability_theory
stochastic processes
https://www.w3.org/2000/01/rdf-schema#label Snell envelope
gptkbp:namedAfter J. L. Snell
gptkbp:relatedTo martingale theory
stopping time
supermartingale
gptkbp:used_in optimal stopping theory
gptkbp:bfsParent gptkb:J._Laurie_Snell
gptkbp:bfsLayer 7