A stochastic representation theorem with applications to optimization and obstacle problems

Annals of Probability

Volumn 32, Issue 1 B, 2004, Pages 1030-1067

  Bank, Peter ^a   El Karoui, Nicole ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Gittins index; Inhomogeneous convexity; Optimal stopping; Representation problem for optional processes; Singular control; Skorohod problem

Indexed keywords

EID: 2142826770     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1079021471     Document Type: Article

References (9)

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