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.
Publié le : 2004-01-14
Classification:
Representation problem for optional processes,
singular control,
optimal stopping,
Gittins index,
Skorohod problem,
inhomogeneous convexity,
60G07,
60G40,
60H25
@article{1079021471,
author = {Bank, Peter and El Karoui, Nicole},
title = {A stochastic representation theorem with applications to optimization and obstacle problems},
journal = {Ann. Probab.},
volume = {32},
number = {1A},
year = {2004},
pages = { 1030-1067},
language = {en},
url = {http://dml.mathdoc.fr/item/1079021471}
}
Bank, Peter; El Karoui, Nicole. A stochastic representation theorem with applications to optimization and obstacle problems. Ann. Probab., Tome 32 (2004) no. 1A, pp. 1030-1067. http://gdmltest.u-ga.fr/item/1079021471/