On Minimax Duality in Optimal Stopping

摘要

In this article we relate the two following results: The multiplicative minimax duality formula in optimal stopping introduced by Jamshidian (2007, Stochastics 79: 27-60) and the martingale approach to optimal stopping introduced by Beibel and Lerche (1997, Statistica Sinica 7: 93-108). We obtain a minimax duality formula (3.4) similar to Jamshidian's one and discuss some related questions.