摘要翻译：
对美式期权的动态分析推动了经典斯内尔信封稳健版本的发展。美式期权的超额套期保值成本是以上Snell包络为特征的。无套利价格的下确界具有较低的Snell包络特征。本文主要研究下Snell包络。我们构造了这个随机过程的正则版本。为此，我们应用了Dellacherie和Lenglart关于随机过程和T-系统正则化的结果。
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英文标题：
《T-Systems and the lower Snell envelope》
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作者：
Erick Trevino Aguilar
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  The dynamical analysis of American options has motivated the development of robust versions of the classical Snell envelopes. The cost of superhedging an American option is characterized by the upper Snell envelope. The infimum of the arbitrage free prices is characterized by the lower Snell envelope. In this paper we focus on the lower Snell envelope. We construct a regular version of this stochastic process. To this end, we apply results due to Dellacherie and Lenglart on regularization of stochastic processes and T -Systems.
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PDF链接：
https://arxiv.org/pdf/0902.4245