Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65351
Authors: 
Bank, Peter
El Karoui, Nicole
Year of Publication: 
2001
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,4
Abstract: 
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.
Subjects: 
inhomogeneous convexity
Gittins index
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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