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XII: 33, 457-467, LNM 649 (1978)

**MAINGUENEAU, Marie Anne**

Temps d'arrêt optimaux et théorie générale (General theory of processes)

This is a general discussion of optimal stopping in continuous time. Fairly advanced tools like strong supermartingales, Mertens' decomposition are used

Comment: The subject is taken up in 1332

Keywords: Optimal stopping, Snell's envelope

Nature: Original

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XIII: 32, 378-384, LNM 721 (1979)

**SZPIRGLAS, Jacques**; **MAZZIOTTO, Gérald**

Théorème de séparation dans le problème d'arrêt optimal (General theory of processes)

Let $({\cal G}_t)$ be an enlargement of a filtration $({\cal F}_t)$ with the property that for every $t$, if $X$ is ${\cal G}_t$-measurable, then $E[X\,|\,{\cal F}_t]=E[X\,|\,{\cal F}_\infty]$. Then if $(X_t)$ is a ${\cal F}$-optional process, its Snell envelope is the same in both filtrations. Applications are given to filtering theory

Keywords: Optimal stopping, Snell's envelope, Filtering theory

Nature: Original

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XV: 24, 320-346, LNM 850 (1981)

**DELLACHERIE, Claude**; **LENGLART, Érik**

Sur des problèmes de régularisation, de recollement et d'interpolation en théorie des martingales (General theory of processes)

The optional section theorem implies that an optional process $X$ is completely determined by its values $X_T$ at all stopping times. Conversely, given random variables $X_T$, ${\cal F}_T$-measurable and such that $X_S=X_T$ a.s. on the set $\{S=T\}$, is it possible to ``aggregate'' them into an optional process $X$? This is the elementary form of the general problem discussed in the paper, in the case where the random variables $X_T$ satisfy a supermartingale inequality. The problem solved is more general: the optional $\sigma$-field is replaced by any of the $\sigma$-fields considered in 1449 (including previsible, accessible, etc), and the family of all stopping times is replaced by a suitable family (called a chronology)

Keywords: General filtrations, Strong supermartingales, Snell's envelope, Section theorems

Nature: Original

Retrieve article from Numdam

Temps d'arrêt optimaux et théorie générale (General theory of processes)

This is a general discussion of optimal stopping in continuous time. Fairly advanced tools like strong supermartingales, Mertens' decomposition are used

Comment: The subject is taken up in 1332

Keywords: Optimal stopping, Snell's envelope

Nature: Original

Retrieve article from Numdam

XIII: 32, 378-384, LNM 721 (1979)

Théorème de séparation dans le problème d'arrêt optimal (General theory of processes)

Let $({\cal G}_t)$ be an enlargement of a filtration $({\cal F}_t)$ with the property that for every $t$, if $X$ is ${\cal G}_t$-measurable, then $E[X\,|\,{\cal F}_t]=E[X\,|\,{\cal F}_\infty]$. Then if $(X_t)$ is a ${\cal F}$-optional process, its Snell envelope is the same in both filtrations. Applications are given to filtering theory

Keywords: Optimal stopping, Snell's envelope, Filtering theory

Nature: Original

Retrieve article from Numdam

XV: 24, 320-346, LNM 850 (1981)

Sur des problèmes de régularisation, de recollement et d'interpolation en théorie des martingales (General theory of processes)

The optional section theorem implies that an optional process $X$ is completely determined by its values $X_T$ at all stopping times. Conversely, given random variables $X_T$, ${\cal F}_T$-measurable and such that $X_S=X_T$ a.s. on the set $\{S=T\}$, is it possible to ``aggregate'' them into an optional process $X$? This is the elementary form of the general problem discussed in the paper, in the case where the random variables $X_T$ satisfy a supermartingale inequality. The problem solved is more general: the optional $\sigma$-field is replaced by any of the $\sigma$-fields considered in 1449 (including previsible, accessible, etc), and the family of all stopping times is replaced by a suitable family (called a chronology)

Keywords: General filtrations, Strong supermartingales, Snell's envelope, Section theorems

Nature: Original

Retrieve article from Numdam