A Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems
| dc.contributor.author | Bank, Peter | |
| dc.contributor.author | Karoui, Nicole El | |
| dc.date.accessioned | 2017-06-15T20:59:36Z | |
| dc.date.available | 2017-06-15T20:59:36Z | |
| dc.date.created | 2005-10-06 | |
| dc.date.issued | 2001-11-27 | |
| dc.identifier.issn | 1436-1086 | |
| dc.identifier.uri | http://edoc.hu-berlin.de/18452/4090 | |
| dc.description.abstract | 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. | eng |
| dc.language.iso | eng | |
| dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
| dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
| dc.subject | inhomogeneous convexity | eng |
| dc.subject | Gittins index | eng |
| dc.subject.ddc | 330 Wirtschaft | |
| dc.title | A Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems | |
| dc.type | book | |
| dc.identifier.urn | urn:nbn:de:kobv:11-10048488 | |
| dc.identifier.doi | http://dx.doi.org/10.18452/3438 | |
| local.edoc.pages | 40 | |
| local.edoc.type-name | Buch | |
| local.edoc.container-type | series | |
| local.edoc.container-type-name | Schriftenreihe | |
| local.edoc.container-year | 2002 | |
| dc.identifier.zdb | 2135319-0 | |
| bua.series.name | Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes | |
| bua.series.issuenumber | 2002,4 |
