A stochastic representation theorem with applications to optimization and obstacle problems.
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- Dynamic allocation problems in continuous time
- Gittins indices in the dynamic allocation problem for diffusion processes
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- scientific article; zbMATH DE number 3505964 (Why is no real title available?)
- On average cost stopping time problems
- On intertemporal preferences in continuous time. The case of certainty
- Optimal Consumption and Portfolio Rules with Durability and Local Substitution
- Optimal consumption choice with intertemporal substitution
Cited in
(41)- On variant reflected backward SDEs, with applications
- Reflected backward stochastic differential equations with resistance
- Irreversible investment in oligopoly
- Continuous-time public good contribution under uncertainty: a stochastic control approach
- Gittins' theorem under uncertainty
- On a stochastic representation theorem for Meyer-measurable processes
- Stochastic representation under \(g\)-expectation and applications: the discrete time case
- Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment
- A Knightian irreversible investment problem
- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- Continuous-time duality for superreplication with transient price impact
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
- On the optimal stopping problem for one-dimensional diffusions.
- On Gittins' index theorem in continuous time
- Irreversible reinsurance: a singular control approach
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
- Optimal stopping of Markov chains and three abstract optimization problems
- Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
- Pricing Israeli options: a pathwise approach
- Expected supremum representation of the value of a singular stochastic control problem
- Ratchet consumption over finite and infinite planning horizons
- Optimal trading policies for wind energy producer
- On irreversible investment
- On a class of infinite-dimensional singular stochastic control problems
- Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
- Potentials of a Markov process are expected suprema
- Optimal activation of halting multi‐armed bandit models
- Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
- An exit contract optimization problem
- Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets
- Viscosity solutions of obstacle equations by inhomogeneous convex envelopes
- On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
- A mean-field version of Bank-El Karoui's representation of stochastic processes
- Irreversible consumption habit under ambiguity: singular control and optimal G-stopping time
- Stochastic representation under filtration-consistent nonlinear expectations
- Irreversible investment under endowment constraints
- Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance
- Convex integral functionals of càdlàg processes
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- A generalized Gittins index for a Markov chain and its recursive calculation
- On equilibrium prices in continuous time
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