Pages that link to "Item:Q1879876"

The following pages link to A stochastic representation theorem with applications to optimization and obstacle problems. (Q1879876):

Displaying 35 items.

• Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs (Q320103) (← links)
• Ratchet consumption over finite and infinite planning horizons (Q462862) (← links)
• On irreversible investment (Q484203) (← links)
• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation (Q662437) (← links)
• A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis (Q744236) (← links)
• A generalized Gittins index for a Markov chain and its recursive calculation (Q945795) (← links)
• On equilibrium prices in continuous time (Q972875) (← links)
• On variant reflected backward SDEs, with applications (Q1039926) (← links)
• Reflected backward stochastic differential equations with resistance (Q1650093) (← links)
• Irreversible investment in oligopoly (Q1761438) (← links)
• Continuous-time public good contribution under uncertainty: a stochastic control approach (Q2013930) (← links)
• Gittins' theorem under uncertainty (Q2076662) (← links)
• On a stochastic representation theorem for Meyer-measurable processes (Q2077325) (← links)
• Stochastic representation under \(g\)-expectation and applications: the discrete time case (Q2084896) (← links)
• Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment (Q2240480) (← links)
• A Knightian irreversible investment problem (Q2247720) (← links)
• On an integral equation for the free-boundary of stochastic, irreversible investment problems (Q2258528) (← links)
• Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) (← links)
• On the optimal stopping problem for one-dimensional diffusions. (Q2574594) (← links)
• On Gittins' index theorem in continuous time (Q2642040) (← links)
• Irreversible reinsurance: a singular control approach (Q2682993) (← links)
• Irreversible investment under Lévy uncertainty: an equation for the optimal boundary (Q2806358) (← links)
• Optimal stopping of Markov chains and three abstract optimization problems (Q3108369) (← links)
• Pricing Israeli options: a pathwise approach (Q3429336) (← links)
• Expected Supremum Representation of the Value of a Singular Stochastic Control Problem (Q4599715) (← links)
• Optimal Trading Policies for Wind Energy Producer (Q4635251) (← links)
• On a Class of Infinite-Dimensional Singular Stochastic Control Problems (Q4990321) (← links)
• Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations (Q5055366) (← links)
• Potentials of a Markov process are expected suprema (Q5429593) (← links)
• Optimal activation of halting multi‐armed bandit models (Q6057028) (← links)
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls (Q6115260) (← links)
• An exit contract optimization problem (Q6186394) (← links)
• Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets (Q6187488) (← links)
• Viscosity solutions of obstacle equations by inhomogeneous convex envelopes (Q6614720) (← links)