Complementarity for the Snell envelope compensator

For the Doob compensator of a Snell envelope,

(V_{n} - Z_{n}) (A_{n + 1} - A_{n}) = 0

: compensation grows only on the stopping region

V_{n} = Z_{n}

.

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Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 211 / 4 / e / Solution

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