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dc.contributor.authorBank, Peteren_US
dc.contributor.authorFöllmer, Hansen_US
dc.description.abstractIn this survey, we show that various stochastic optimization problems arising in option theory, in dynamical allocation problems, and in the microeconomic theory of intertemporal consumption choice can all be reduced to the same problem of representing a given stochastic process in terms of running maxima of another process. We describe recent results of Bank and El Karoui (2002) on the general stochastic representation problem, derive results in closed form for Lévy processes and diffusions, present an algorithm for explicit computations, and discuss some applications.en_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,46en_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.stwIntertemporale Allokationen_US
dc.titleAmerican Options, Multi-armed Bandits, and Optimal Consumption Plans : A Unifying Viewen_US
dc.typeWorking Paperen_US
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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