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On the Robustness of the Snell Envelope:
Del Moral, Pierre
;
Hu, Peng
;
Oudjane, Nadia
.
SIAM Journal on Financial Mathematics. 2 (2011) 1 - p. 587-626 , 2011
Link:
https://doi.org/10.1137/100798016
RT Journal T1 <Title>On the Robustness of the Snell Envelope</Title> UL https://suche.suub.uni-bremen.de/peid=cr-10.1137_100798016&Exemplar=1&LAN=DE A1 Del Moral, Pierre A1 Hu, Peng A1 Oudjane, Nadia A1 Rémillard, Bruno PB Society for Industrial & Applied Mathematics (SIAM) YR 2011 SN 1945-497X JF SIAM Journal on Financial Mathematics VO 2 IS 1 SP 587 OP 626 LK http://dx.doi.org/https://doi.org/10.1137/100798016 DO https://doi.org/10.1137/100798016 SF ELIB - SuUB Bremen
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