Year: 2018
Type: preprint
Abstract: In this paper, we study the optimal stopping problem in the case where the reward is given by a family $(ϕ(τ),\;\;τ\in \stopo)$ of non negative random variables indexed by predictable stopping times. We treat the problem by means of Snell's envelope techniques. We prove some properties of the value function family associated to this setting.
Source: arXiv (Cornell University)
Authors: Bouhadou, Siham, Ouknine, Youssef
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2902969696