I am looking for an English reference on the theory of Snell envelopes of càdlàg processes with and without negative jumps. In particular which contain results on existence of Snell envelope and characterisation of optimal stopping times.

Karatzas book only treats nonnegative processes and the theorem on existence of an optimal stopping time assumes continuous processes.

  • Do you mean the book Methods of Mathematical Finance by Ioannis Karatzas and Steven Shreve, doi.org/10.1007/978-1-4939-6845-9 ? – David Roberts Nov 7 at 3:32
  • 1
    @David Roberts yes – JEJ Nov 7 at 5:27
  • On a side note, I always assumed càdlàg was a Gaelic word! (The only other similar word I know that really is from the British Isles is Sjoerd Crans' teisi, which is Welsh) – David Roberts Nov 7 at 8:46

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