Snell envelope
= Snell envelope
{c}
{wiki}
The finite-horizon Snell envelope of rewards $Z_n$ is defined backward by $V_N=Z_N$ and $V_n=\max\{Z_n,\mathbb E[V_{n+1}\mid\mathcal F_n]\}$. It is the least supermartingale dominating $Z$.
= Snell envelope
{c}
{wiki}
The finite-horizon Snell envelope of rewards $Z_n$ is defined backward by $V_N=Z_N$ and $V_n=\max\{Z_n,\mathbb E[V_{n+1}\mid\mathcal F_n]\}$. It is the least supermartingale dominating $Z$.