A stochastic representation theorem with applications to optimization and obstacle problems

• 成果类型: Article
• 署名作者: Bank, P; El Karoui, N
• 署名单位: Humboldt University of Berlin; Institut Polytechnique de Paris; ENSTA Paris; Ecole Polytechnique
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2004
• 页码: 1030-1067
• 关键词: time

摘要

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.