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Snell envelope

The finite-horizon Snell envelope of rewards

Z_{n}

is defined backward by

V_{N} = Z_{N}

and

V_{n} = max {Z_{n}, E [V_{n + 1} ∣ F_{n}]}

. It is the least supermartingale dominating

Z

.

Table of contents 72 2
- Complementarity for the Snell envelope compensator Snell envelope 19
- Optimal stopping time from the compensator Snell envelope 28

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