2001-11-27Buch DOI: 10.18452/3438
A Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems
Karoui, Nicole El
We study a new type of representation problem for optional processes with connections to singular control, optimal stopping and dynamic allocation problems. As an application, we show how to solve a variant of Skorohod's obstacle problem in the context of backward stochastic differential equations.
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