On the Robustness of the Snell Envelope

Pierre Del Moral, Peng Hu, Nadia Oudjane, Bruno Rémillard. On the Robustness of the Snell Envelope. SIAM J. Financial Math., 2(1):587-626, 2011. [doi]

Authors

Pierre Del Moral

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Peng Hu

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Nadia Oudjane

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Bruno Rémillard

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