J. Laurie Snell

James Laurie Snell

James Laurie Snell, often cited as J. Laurie Snell, (born January 15th, 1925, Wheaton, Illinois; died March 19, 2011, Hanover, New Hampshire) was an American mathematician.

A graduate of the University of Illinois, he taught at Dartmouth College until retiring in 1995. Among his publications was the book "Introduction to Finite Mathematics", written with John George Kemeny and Gerald L. Thompson, first published in 1956 and in multiple editions since.

Work

The Snell envelope, used in stochastics and mathematical finance, is the smallest supermartingale dominating the price process. Snell has published the related theory 1952 in the paper Applications of martingale system theorems.

Publications

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