LOCAL-TIMES, OPTIMAL STOPPING AND SEMIMARTINGALES
成果类型：
Article
署名作者：
JACKA, SD
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176989407
发表日期：
1993
页码：
329-339
关键词：
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.''