Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22260 
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dc.contributor.authorBank, Peteren
dc.contributor.authorFöllmer, Hansen
dc.date.accessioned2009-01-29T14:55:13Z-
dc.date.available2009-01-29T14:55:13Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:kobv:11-10050819en
dc.identifier.urihttp://hdl.handle.net/10419/22260-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2003,46en
dc.subject.ddc330en
dc.subject.keywordAmerican optionsen
dc.subject.keywordGittins indexen
dc.subject.keywordmulti-armed banditsen
dc.subject.keywordoptimal consumption plansen
dc.subject.keywordoptimal stoppingen
dc.subject.keywordrepresentation theoremen
dc.subject.stwDynamische Optimierungen
dc.subject.stwStochastischer Prozessen
dc.subject.stwOptionspreistheorieen
dc.subject.stwIntertemporale Allokationen
dc.subject.stwKonsumtheorieen
dc.subject.stwTheorieen
dc.titleAmerican Options, Multi-armed Bandits, and Optimal Consumption Plans : A Unifying View-
dc.typeWorking Paperen
dc.identifier.ppn37917409Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200346en

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