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.
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.
- James Laurie Snell, John G. Kemeny, and Gerald Luther Thompson: Introduction to Finite Mathematics, Englewood Cliffs : Prentice Hall, 1956. Online
- James Laurie Snell, Ross Kindermann: Markov Random Fields and Their Applications, Amer Mathematical Society, 1980, ISBN 0-8218-5001-6, ISBN 978-0-8218-5001-5
- James Laurie Snell, Introduction To Probability, Random House, 1988, ISBN 0-394-34485-5
- James Laurie Snell, Charles Grinsted: Introduction to Probability, American Mathematical Society, 2. Auflage, 1997, ISBN 0-8218-0749-8, ISBN 978-0-8218-0749-1