Concepedia

Snell Envelope

The Snell Envelope is the minimal supermartingale that dominates a given stochastic process and characterizes the optimal stopping rule in discrete-time stochastic optimization.

22

Publications

1.3K

Citations

26

Authors

17

Institutions

Publications per year

2017–2026

2

Parents

Publications

22

A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

Vlad Bally, Gilles Pagès · Bernoulli · 2003 · 208 citations · Full text

, , +17

On the Starting and Stopping Problem: Application in Reversible Investments

Saïd Hamadène, Monique Jeanblanc · Mathematics of Operations Research · 2007 · 177 citations

, , +13

A Finite Horizon Optimal Multiple Switching Problem

Boualem Djehiche, Saïd Hamadène, Alexandre Popier · SIAM Journal on Control and Optimization · 2009 · 124 citations

, , +16

Reflected Backward Stochastic Differential Equation with Jumps and Random Obstacle

Saïd Hamadène, Youssef Ouknine · Electronic Journal of Probability · 2003 · 120 citations · Full text

, , +15

TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO

Denis Belomestny, Christian Bender, John Schoenmakers · Mathematical Finance · 2009 · 97 citations

, , +15

1–5 of 22

Authors

26

  1. SH
    Saïd Hamadène

    Le Mans Université, France

    4 publications · 459 citations

    4

    h-index

  2. CB
    Christian Bender

    Technische Universität Braunschweig, Germany

    4 publications · 191 citations

    4

    h-index

  3. JS
    John Schoenmakers

    Weierstrass Institute for Applied Analysis and Stochastics, Germany

    3 publications · 146 citations

    3

    h-index

  4. FJ
    Farshid Jamshidian

    Faculdades Guarulhos, Brazil

    2 publications · 61 citations

    2

    h-index

  5. AP
    Alexandre Popier

    Le Mans Université, France

    2 publications · 162 citations

    2

    h-index

1–5 of 26

Institutions

17

  1. University of Twente

    Enschede, The Netherlands

    3 h-index

    4 publications

    81 citations

  2. Le Mans Université

    Le Mans, France

    2 h-index

    3 publications

    253 citations

  3. Weierstrass Institute for Applied Analysis and Stochastics

    Berlin, Germany

    2 h-index

    4 publications

    266 citations

  4. Université d'Évry Val-d'Essonne

    Évry-Courcouronnes, France

    1 h-index

    1 publications

    177 citations

  5. Cal Poly Humboldt

    Arcata, United States

    1 h-index

    1 publications

    67 citations

  6. University of Pisa

    Pisa, Italy

    1 h-index

    1 publications

    35 citations

  7. Cadi Ayyad University

    Marrakesh, Morocco

    1 h-index

    1 publications

    120 citations

  8. Columbia University

    New York, United States

    1 h-index

    1 publications

    67 citations

1–8 of 17

Venues

  1. Mathematical Finance

    3 publications · 145 citations

    3

    h-index

  2. Mathematics of Operations Research

    2 publications · 202 citations

    2

    h-index

  3. SIAM Journal on Control and Optimization

    2 publications · 191 citations

    2

    h-index

  4. Bernoulli

    1 publications · 208 citations

    1

    h-index

  5. Finance and Stochastics

    1 publications · 35 citations

    1

    h-index

1–5