A PROBABILISTIC APPROACH TO THE REDUITE IN OPTIMAL
STOPPING
N. El Karoui
J.-P. Lepeltier
A. Millet
Abstract: In this work the approach to the reduite is made in a simple and unified way. More
precisely, we use the same probabilistic technique to study the optimal stopping problem
associated with the reduite, to prove the expression of the Snell envelope in terms of
the reduite under very general assumptions, and to show continuity properties of
the reduite. We finally describe the example of diffusion processes with jumps.
2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;
Key words and phrases: -