A stochastic representation theorem with applications to optimization and obstacle problems. (Q1879876)
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scientific article; zbMATH DE number 2100741
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic representation theorem with applications to optimization and obstacle problems. |
scientific article; zbMATH DE number 2100741 |
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A stochastic representation theorem with applications to optimization and obstacle problems. (English)
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15 September 2004
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representation problem for optional processes
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singular control
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optimal stopping
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Gittens index
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Skorokhod problem
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inhomogeneous convexity
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