scientific article; zbMATH DE number 1985272

MaRDI QIDQ4429136zbMATH OpenFDO

Authors Peter Bank, Hans Föllmer

Publication date 24 September 2003

zbMATH Keywords

Gittins indexoptimal stoppingrepresentation theoremAmerican optionsmulti-armed banditsoptimal consumption plans

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(17)

• On a stochastic representation theorem for Meyer-measurable processes
• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
• On a class of infinite-dimensional singular stochastic control problems
• Expected supremum representation of the value of a singular stochastic control problem
• Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
• On irreversible investment
• Stochastic representation under \(g\)-expectation and applications: the discrete time case
• Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
• An exit contract optimization problem
• Strategic learning in teams
• Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
• On variant reflected backward SDEs, with applications
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• Continuous-time public good contribution under uncertainty: a stochastic control approach
• A stochastic representation theorem with applications to optimization and obstacle problems.
• Potentials of a Markov process are expected suprema
• Gittins' theorem under uncertainty

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