Integration of the optimal risk in a stopping problem with absorption

Nicole El Karoui; Ioannis Karatzas

Séminaire de probabilités de Strasbourg (1989)

  • Volume: 23, page 405-420

How to cite

top

El Karoui, Nicole, and Karatzas, Ioannis. "Integration of the optimal risk in a stopping problem with absorption." Séminaire de probabilités de Strasbourg 23 (1989): 405-420. <http://eudml.org/doc/113691>.

@article{ElKaroui1989,
author = {El Karoui, Nicole, Karatzas, Ioannis},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {optimal risk in a stopping problem; stochastic control problem},
language = {eng},
pages = {405-420},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Integration of the optimal risk in a stopping problem with absorption},
url = {http://eudml.org/doc/113691},
volume = {23},
year = {1989},
}

TY - JOUR
AU - El Karoui, Nicole
AU - Karatzas, Ioannis
TI - Integration of the optimal risk in a stopping problem with absorption
JO - Séminaire de probabilités de Strasbourg
PY - 1989
PB - Springer - Lecture Notes in Mathematics
VL - 23
SP - 405
EP - 420
LA - eng
KW - optimal risk in a stopping problem; stochastic control problem
UR - http://eudml.org/doc/113691
ER -

References

top
  1. [1] Chaleyat-Maurel, M., El Karoui, N. & Marchal, B. (1980) Réflexion discontinue et systèmes stochastiques. Annals of Probability8, 1049-1067. Zbl0448.60043
  2. [2] El Karoui, N. & Karatzas, I. (1988) Probabilistic aspects of finite-fuel, reflected follower problems. Acta Applicandae Mathematicae11, 223-258. Zbl0654.93078
  3. [3] El Karoui, N. & Karatzas, I. (1988) A new approach to the Skorohod problem, and its applications. Submitted for publication. Zbl0735.60046
  4. [4] Karatzas, I. (1983) A class of singular stochastic control problems. Advances in Applied Probability15, 225-254. Zbl0511.93076MR698818
  5. [5] Karatzas, I. & Shreve. S.E. (1985) Connections between optimal stopping and singular stochastic control II: Reflected Follower problems. SIAM J. Control & Optimization23, 433-451. Zbl0573.93078
  6. [6] Karatzas, I. & Shreve, S.E. (1987) BrownianMotion and Stochastic Calculus. Springer-Verlag, New York. Zbl0638.60065

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.