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I am looking for an English translation of "Les aspects probabilistes du contrôle stochastique" written by Nicole El Karoui, or knowledge whether it exists.

Other references with similar content on Snell envelopes are also appreciated.

Reference info: Les aspects probabilistes du contrôle stochastique. (French) [The probabilistic aspects of stochastic control] Ninth Saint Flour Probability Summer School—1979 (Saint Flour, 1979), pp. 73–238, Lecture Notes in Math., 876, Springer, Berlin-New York, 1981. Springerlink.

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There is no English translation of El Karoui's lecture notes, however her work on Snell envelopes is described in Reflected Solutions of Backward SDE'S, and Related Obstacle Problems for PDE's. For a text book treatment of Snell envelopes see Methods of Mathematical Finance by Karatzas and Shreve.

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  • $\begingroup$ In Karatzas there seems to be an additional assumption of non-negativity of $Y$ i.e the process within the Snell envelope, do you know if this is really necessary? El Karouis process within the Snell envelope does not look non-negative. $\endgroup$
    – user123124
    Commented Nov 2, 2020 at 10:06

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