A stochastic representation theorem with applications to optimization and obstacle problems.
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Publication:1879876
DOI10.1214/aop/1079021471zbMath1058.60022OpenAlexW2090069585MaRDI QIDQ1879876
Publication date: 15 September 2004
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1079021471
optimal stoppingSkorokhod problemsingular controlGittens indexinhomogeneous convexityrepresentation problem for optional processes
Random operators and equations (aspects of stochastic analysis) (60H25) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07)
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