On a stochastic representation theorem for Meyer-measurable processes

DOI10.1214/20-AIHP1113zbMath1480.60079OpenAlexW3186717342MaRDI QIDQ2077325

Peter Bank, David Besslich

Publication date: 25 February 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/20-aihp1113

zbMATH Keywords

optimal stoppingoptimal stochastic controldivided stopping timesMeyer-\(\sigma\)-fieldsstochastic representation theorem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07)

Related Items (3)

An exit contract optimization problem ⋮ Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case ⋮ Non-linear Dynkin games over split stopping times

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