On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope
2019
Let $G$ be a semimartingale and $S$ its Snell envelope. Under the assumption that $G\in\mathcal{H}^1$, we show that the finite-variation part of $S$ is absolutely continuous with respect to the dec...
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
0
References
1
Citations
NaN
KQI