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2003-04-22Buch DOI: 10.18452/3650
American Options, Multi–armed Bandits, and Optimal Consumption Plans
dc.contributor.authorBank, Peter
dc.contributor.authorFöllmer, Hans
dc.date.accessioned2017-06-15T21:40:54Z
dc.date.available2017-06-15T21:40:54Z
dc.date.created2005-10-20
dc.date.issued2003-04-22
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4302
dc.description.abstractIn this survey, we show that various stochastic optimization problems arising in option theory, in dynamical allocation problems, and in the microeconomic theory of intertemporal consumption choice can all be reduced to the same problem of representing a given stochastic process in terms of running maxima of another process. We describe recent results of Bank and El Karoui (2002) on the general stochastic representation problem, derive results in closed form for L´evy processes and diffusions, present an algorithm for explicit computations, and discuss some applications.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectGittins indexeng
dc.subjectAmerican optionseng
dc.subjectmulti–armed banditseng
dc.subjectoptimal consumption planseng
dc.subjectoptimal stoppingeng
dc.subjectrepresentation theoremeng
dc.subjectuniversal exercise signaleng
dc.subject.ddc330 Wirtschaft
dc.titleAmerican Options, Multi–armed Bandits, and Optimal Consumption Plans
dc.typebook
dc.subtitleA Unifying View
dc.identifier.urnurn:nbn:de:kobv:11-10050819
dc.identifier.doihttp://dx.doi.org/10.18452/3650
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages48
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue46
local.edoc.container-year2003
local.edoc.container-erstkatid2135319-0

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