A stochastic representation theorem with applications to optimization and obstacle problems

• Peter Bank ^[2] ; Nicole El Karoui ^[1]
  1. [1] Pierre and Marie Curie University

     Pierre and Marie Curie University

     París, Francia

     
  2. [2] Humboldt University
• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 32, Nº. 1, 2, 2004, págs. 1030-1067
• Idioma: inglés
• DOI: 10.1214/aop/1079021471
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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.