@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] A stochastic representation theorem with applications to optimization and obstacle problems, Ann. Probab. 32 (1B) (2004) 1030-1067. | MR | Zbl
, ,[4] 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] Optimal consumption choice with intertemporal substitution, Ann. Appl. Probab. 3 (2001) 755-788. | MR | Zbl
, ,[6] Probabilités et potentiel, Chapitres XII-XVI : Théorie du potentiel associée à une résolvante, Théorie des processus de Markov, Hermann, Paris, 1987. | MR | Zbl
, ,[7] 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] 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] Dynamic allocation problems in continuous time, Ann. Appl. Probab. 4 (1994) 255-286. | MR | Zbl
, ,[10] The optimal stopping problem for a general American put-option, in: (Ed.), Mathematical Finance, Springer, Berlin, 1995, pp. 63-74. | Zbl
, ,[11] Synchronization and optimality for multi-armed bandit problems in continuous time, Comput. Appl. Math. 16 (2) (1997) 117-151. | MR | Zbl
, ,[12] 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] 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] Statistical Sequential Analysis, Amer. Math. Soc., Providence, RI, 1973.
,[15] Multi-armed bandits and the Gittins index, J. Roy. Statist. Soc. Ser. B 42 (2) (1980) 143-149. | MR | Zbl
,Cité par Sources :