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The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
2007
Stochastics: An International Journal of Probability and Stochastic Processes
We develop a concept of a "domineering claim" and apply it to the existence, uniqueness and properties of optimal stopping times in continuous time. The notion pinpoints a key observation of pathwise optimality in Davis and Karatzas [8]. It also ties in well with several formulations of a duality in optimal stopping theory, including the minimax duality pricing formula in Rogers [30] and Haugh and Kogan [15] for American and Bermudan options and its multiplicative version. We give a general
doi:10.1080/17442500601051914
fatcat:5ms5xu4gibevvdth4ib2cjyblu