Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22260
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dc.contributor.authorBank, Peteren_US
dc.contributor.authorFöllmer, Hansen_US
dc.date.accessioned2009-01-29T14:55:13Z-
dc.date.available2009-01-29T14:55:13Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10050819-
dc.identifier.urihttp://hdl.handle.net/10419/22260-
dc.description.abstractIn this survey, we show that various stochastic optimization problems arising inoption theory, in dynamical allocation problems, and in the microeconomic theoryof intertemporal consumption choice can all be reduced to the same problem ofrepresenting a given stochastic process in terms of running maxima of anotherprocess. We describe recent results of Bank and El Karoui (2002) on the generalstochastic representation problem, derive results in closed form for Lévy processesand diffusions, present an algorithm for explicit computations, and discuss someapplications.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aDiscussion papers of interdisciplinary research project 373 |x2003,46en_US
dc.subject.ddc330en_US
dc.subject.keywordAmerican optionsen_US
dc.subject.keywordGittins indexen_US
dc.subject.keywordmulti-armed banditsen_US
dc.subject.keywordoptimal consumption plansen_US
dc.subject.keywordoptimal stoppingen_US
dc.subject.keywordrepresentation theoremen_US
dc.subject.stwDynamische Optimierungen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwIntertemporale Allokationen_US
dc.subject.stwKonsumtheorieen_US
dc.subject.stwTheorieen_US
dc.titleAmerican Options, Multi-armed Bandits, and Optimal Consumption Plans : A Unifying Viewen_US
dc.typeWorking Paperen_US
dc.identifier.ppn37917409Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:200346-

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