2012

• Snell envelope with small probability criteria

  Applied mathematics and optimization, vol. 66, iss. 3, pp. 309-330, 2012.
  By P. D. Moral, P. Hu, and N. Oudjane

  [Bibtex]

  @article{Moral2012309,
  author={Moral, P.D. and Hu, P. and Oudjane, N.},
  title={Snell envelope with small probability criteria},
  journal={Applied Mathematics and Optimization},
  year={2012},
  volume={66},
  number={3},
  pages={309-330},
  doi={10.1007/s00245-012-9173-1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84872706399&doi=10.1007%2fs00245-012-9173-1&partnerID=40&md5=19823cf5e85582dddb68c4416823890d},
  }

2011

• On the robustness of the snell envelope

  Siam journal on financial mathematics, vol. 2, iss. 1, pp. 587-626, 2011.
  By P. D. Moral, P. Hu, N. Oudjane, and B. Rémillard

  [Bibtex]

  @article{Moral2011587,
  author={Moral, P.D. and Hu, P. and Oudjane, N. and Rémillard, B.},
  title={On the robustness of the snell envelope},
  journal={SIAM Journal on Financial Mathematics},
  year={2011},
  volume={2},
  number={1},
  pages={587-626},
  doi={10.1137/100798016},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871066455&doi=10.1137%2f100798016&partnerID=40&md5=8390d937a822c0d2fa01ed177aa226c8},
  }