On Lenglart's Theory of Meyer-sigma-fields and El Karoui's Theory of Optimal Stopping
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Abstract (arXiv)
We summarize the general results of El Karoui [1981] on optimal stopping problems for processes which are measurable with respect to Meyer-σ-fields. Meyer-σ-fields are due to Lenglart [1980] and include the optional and predictable σ-field as special cases. Novel contributions of our work are path regularity results for Meyer measurable processes and limit results for Meyer-projections. We will also clarify a minor issue in the proof of the optimality result in El Karoui [1981]. These extensions were inspired and needed for the proof of a stochastic representation theorem in Bank and Besslich [2018a]. As an application of this theorem, we provide an alternative approach to optimal stopping in the spirit of Bank and F"ollmer [2003].
Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). First posted on arXiv 19 Oct 2018.
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- 2021Optimal Stopping via Randomized Neural Networkscited by 26
- 2021Optimal Stopping via Randomized Neural Networks28 Apr 2021