A stochastic representation theorem with applications to optimization and obstacle problems. (Q1879876): Difference between revisions

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Revision as of 19:46, 6 June 2024

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A stochastic representation theorem with applications to optimization and obstacle problems.
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    A stochastic representation theorem with applications to optimization and obstacle problems. (English)
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    15 September 2004
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    representation problem for optional processes
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    singular control
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    optimal stopping
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    Gittens index
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    Skorokhod problem
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    inhomogeneous convexity
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