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2001-11-27Buch DOI: 10.18452/3438
A Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems
dc.contributor.authorBank, Peter
dc.contributor.authorKaroui, Nicole El
dc.date.accessioned2017-06-15T20:59:36Z
dc.date.available2017-06-15T20:59:36Z
dc.date.created2005-10-06
dc.date.issued2001-11-27
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4090
dc.description.abstractWe 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.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectinhomogeneous convexityeng
dc.subjectGittins indexeng
dc.subject.ddc330 Wirtschaft
dc.titleA Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10048488
dc.identifier.doihttp://dx.doi.org/10.18452/3438
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages40
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2002
local.edoc.container-issue4
local.edoc.container-year2002
local.edoc.container-erstkatid2135319-0

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