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A stochastic representation theorem with applications to optimization and obstacle problems

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  • Bank, Peter
  • El Karoui, Nicole
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    Abstract

    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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    File URL: http://econstor.eu/bitstream/10419/65351/1/72629408X.pdf
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    Bibliographic Info

    Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2002,4.

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    Date of creation: 2001
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    Handle: RePEc:zbw:sfb373:20024

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    Related research

    Keywords: inhomogeneous convexity; Gittins index;

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    Cited by:
    1. Dayanik, Savas & Karatzas, Ioannis, 2003. "On the optimal stopping problem for one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 107(2), pages 173-212, October.

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