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20172026
most citedA potential-based construction of the increasing supermartingale coupling

1 citations · 2 across the 9 of their papers we have counts for

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q-fin.MF2017

Robust bounds for the American Put

David Hobson, Dominykas Norgilas

We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically…

math.PR2017

On the compensator in the Doob-Meyer decomposition of the Snell envelope

Saul D. Jacka, Dominykas Norgilas

Let be a semimartingale, and its Snell envelope. Under the assumption that , we show that the finite-variation part of is absolutely continuous with…