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Optimal stopping time from the compensator
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Mathematics
Area of mathematics
Probability and statistics
Probability theory
Martingale
Snell envelope
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The first time the Snell-envelope compensator is about to become positive is an optimal stopping time; before it the martingale part equals both value and reward at stopping.
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Snell envelope
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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