A stochastic representation theorem with applications to optimization and obstacle problems

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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Year of publication:	2001
Authors:	Bank, Peter ; El Karoui, Nicole
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	inhomogeneous convexity \| Gittins index

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2002,4
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010956599