| dbo:abstract |
L'enveloppe de Snell, utilisée en calcul stochastique et en mathématiques financières, est la plus petite sur-martingale majorant un processus stochastique. Le nom de l'enveloppe de Snell provient du mathématicien (en). (fr) The Snell envelope, used in stochastics and mathematical finance, is the smallest supermartingale dominating a stochastic process. The Snell envelope is named after James Laurie Snell. (en) |
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888355863 (xsd:integer) |
| dbo:wikiPageWikiLink |
dbr:Almost_surely dbr:Mathematical_finance dbr:Stochastics dbr:Adapted_process dbr:Join_and_meet dbr:Absolutely_continuous dbc:Mathematical_finance dbr:Filtered_probability_space dbr:Martingale_(probability_theory) dbr:Probability_measure dbr:Stochastic_process dbr:American_option dbr:James_Laurie_Snell |
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dbt:Refimprove dbt:Reflist |
| dct:subject |
dbc:Mathematical_finance |
| gold:hypernym |
dbr:Supermartingale |
| rdfs:comment |
L'enveloppe de Snell, utilisée en calcul stochastique et en mathématiques financières, est la plus petite sur-martingale majorant un processus stochastique. Le nom de l'enveloppe de Snell provient du mathématicien (en). (fr) The Snell envelope, used in stochastics and mathematical finance, is the smallest supermartingale dominating a stochastic process. The Snell envelope is named after James Laurie Snell. (en) |
| rdfs:label |
Enveloppe de Snell (fr) Snell envelope (en) |
| owl:sameAs |
freebase:Snell envelope wikidata:Snell envelope dbpedia-fr:Snell envelope https://global.dbpedia.org/id/4uxvJ |
| prov:wasDerivedFrom |
wikipedia-en:Snell_envelope?oldid=888355863&ns=0 |
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wikipedia-en:Snell_envelope |
| is dbo:wikiPageWikiLink of |
dbr:J._Laurie_Snell dbr:Optimal_stopping dbr:Doob_decomposition_theorem |
| is foaf:primaryTopic of |
wikipedia-en:Snell_envelope |