Showing 1 - 10 of 45
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...
Persistent link: https://www.econbiz.de/10009620781
Persistent link: https://www.econbiz.de/10001611283
Persistent link: https://www.econbiz.de/10001916170
Persistent link: https://www.econbiz.de/10001916974
Persistent link: https://www.econbiz.de/10001917044
Persistent link: https://www.econbiz.de/10001917057
Persistent link: https://www.econbiz.de/10001917076
Persistent link: https://www.econbiz.de/10001917128
Persistent link: https://www.econbiz.de/10001919051
Persistent link: https://www.econbiz.de/10001919070