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
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	inhomogeneous convexity \| Gittins index

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Series:	SFB 373 Discussion Paper ; 2002,4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	72629408X [GVK] hdl:10419/65351 [Handle] RePEc:zbw:sfb373:20024 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310573