Abstract
We study a new type of representation problem for optional processes with connections to singular control, optimal stopping and dynamic allocation problems. As an application, we show how to solve a variant of Skorohod's obstacle problem in the context of backward stochastic differential equations.
Citation
Peter Bank. Nicole El Karoui. "A stochastic representation theorem with applications to optimization and obstacle problems." Ann. Probab. 32 (1B) 1030 - 1067, January 2004. https://doi.org/10.1214/aop/1079021471
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