no. 3
A non-linear Riesz respresentation in probabilistic potential theory
Annales de l'I.H.P. Probabilités et statistiques, Tome 41 (2005) no. 3, pp. 269-283. 
@article{AIHPB_2005__41_3_269_0,
     author = {El Karoui, Nicole and F\"ollmer, Hans},
     title = {A non-linear {Riesz} respresentation in probabilistic potential theory},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     pages = {269--283},
     publisher = {Elsevier},
     volume = {41},
     number = {3},
     year = {2005},
     doi = {10.1016/j.anihpb.2004.07.004},
     mrnumber = {2139020},
     zbl = {1078.60058},
     language = {en},
     url = {http://www.numdam.org/articles/10.1016/j.anihpb.2004.07.004/}
}
TY  - JOUR
AU  - El Karoui, Nicole
AU  - Föllmer, Hans
TI  - A non-linear Riesz respresentation in probabilistic potential theory
JO  - Annales de l'I.H.P. Probabilités et statistiques
PY  - 2005
SP  - 269
EP  - 283
VL  - 41
IS  - 3
PB  - Elsevier
UR  - http://www.numdam.org/articles/10.1016/j.anihpb.2004.07.004/
DO  - 10.1016/j.anihpb.2004.07.004
LA  - en
ID  - AIHPB_2005__41_3_269_0
ER  - 
%0 Journal Article
%A El Karoui, Nicole
%A Föllmer, Hans
%T A non-linear Riesz respresentation in probabilistic potential theory
%J Annales de l'I.H.P. Probabilités et statistiques
%D 2005
%P 269-283
%V 41
%N 3
%I Elsevier
%U http://www.numdam.org/articles/10.1016/j.anihpb.2004.07.004/
%R 10.1016/j.anihpb.2004.07.004
%G en
%F AIHPB_2005__41_3_269_0
El Karoui, Nicole; Föllmer, Hans. A non-linear Riesz respresentation in probabilistic potential theory. Annales de l'I.H.P. Probabilités et statistiques, Tome 41 (2005) no. 3, pp. 269-283. doi : 10.1016/j.anihpb.2004.07.004. http://www.numdam.org/articles/10.1016/j.anihpb.2004.07.004/

[1] P. Bank, Singular control of optional random measures - stochastic optimization and representation problems arising in the microeconomic theory of intertemporal consumption choice, Ph.D. thesis, Humboldt University of Berlin, 2000. | Zbl

[2] P. Bank, Gittins indices for American options, Humboldt University of Berlin, 2004, in preparation.

[3] P. Bank, N. El Karoui, A stochastic representation theorem with applications to optimization and obstacle problems, Ann. Probab. 32 (1B) (2004) 1030-1067. | MR | Zbl

[4] P. Bank, H. Föllmer, American options, multi-armed bandits, and optimal consumption plans: a unifying view, in: Paris-Princeton Lectures on Mathematical Finance 2002, Lecture Notes in Math., vol. 1814, Springer, Berlin, 2003, pp. 1-42. | MR | Zbl

[5] P. Bank, F. Riedel, Optimal consumption choice with intertemporal substitution, Ann. Appl. Probab. 3 (2001) 755-788. | MR | Zbl

[6] C. Dellacherie, P. Meyer, Probabilités et potentiel, Chapitres XII-XVI : Théorie du potentiel associée à une résolvante, Théorie des processus de Markov, Hermann, Paris, 1987. | MR | Zbl

[7] C. Dellacherie, Théorie des processus de production. Modèles simples de la théorie du potentiel non linéaire, in: Séminaire de Probabilités XXV, Lecture Notes in Math., vol. 1426, Springer, Berlin, 1990, pp. 52-104. | EuDML | Numdam | MR | Zbl

[8] N. El Karoui, Les aspects probabilistes du contrôle stochastique, in: Ninth Saint Flour Probability Summer School - 1979 (Saint Flour, 1979), Lecture Notes in Math., vol. 876, Springer, Berlin, 1981, pp. 73-238. | MR | Zbl

[9] N. El Karoui, I. Karatzas, Dynamic allocation problems in continuous time, Ann. Appl. Probab. 4 (1994) 255-286. | MR | Zbl

[10] N. El Karoui, I. Karatzas, The optimal stopping problem for a general American put-option, in: Davis M. (Ed.), Mathematical Finance, Springer, Berlin, 1995, pp. 63-74. | Zbl

[11] N. El Karoui, I. Karatzas, Synchronization and optimality for multi-armed bandit problems in continuous time, Comput. Appl. Math. 16 (2) (1997) 117-151. | MR | Zbl

[12] D. Heath, Skorokhod stopping via potential theory, in: Séminaire de Probabilités VIII, Lecture Notes in Math., vol. 381, Springer, Berlin, 1974, pp. 150-154. | Numdam | MR | Zbl

[13] G. Mokobodzki, Quelques proprietés remarquables des opérateurs presque positifs, in: Séminaire de Probabilités IV, Lectures Notes in Math., vol. 124, Springer, Berlin, 1970, pp. 195-207. | Numdam | MR | Zbl

[14] A.N. Shiryaev, Statistical Sequential Analysis, Amer. Math. Soc., Providence, RI, 1973.

[15] P. Whittle, Multi-armed bandits and the Gittins index, J. Roy. Statist. Soc. Ser. B 42 (2) (1980) 143-149. | MR | Zbl

Cité par Sources :