A non-linear Riesz respresentation in probabilistic potential theory

DOI10.1016/j.anihpb.2004.07.004zbMath1078.60058OpenAlexW2123893652MaRDI QIDQ2485312

Hans Föllmer, Nicole El Karoui

Publication date: 4 August 2005

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

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2005__41_3_269_0

zbMATH Keywords

Optimal stoppingHarmonic functionPotential operator

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45) Harmonic, subharmonic, superharmonic functions on other spaces (31C05)

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