LOCAL-TIMES, OPTIMAL STOPPING AND SEMIMARTINGALES

被引：13

作者：

JACKA, SD

机构：

来源：

ANNALS OF PROBABILITY | 1993年 / 21卷 / 01期

关键词：

LOCAL TIME; SEMIMARTINGALE; SNELL ENVELOPE; SMOOTH PASTING; SUPERMARTINGALE; SDE; MAXIMAL SOLUTION; FORWARD BACKWARD EQUATION;

D O I：

10.1214/aop/1176989407

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.''

引用

页码：329 / 339

页数：11