What is it about?
We prove that the famous Snell envelope is the unique solution of the Stochastic Variational inequality.
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Why is it important?
It is important because several new a priori estimates unknown earlier have been established based on the variational formulation.
Perspectives
This paper will have applications to American options valuation and hedging
Professor Malkhaz Shashiashvili
Ivane Javakhishvili Tbilisi State University
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This page is a summary of: Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes, Stochastics and Stochastics Reports, December 2003, Taylor & Francis,
DOI: 10.1080/10451120310001641135.
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