A new approach to the skorohod problem, and its applications
A new approach to the skorohod problem, and its applications
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DOI：
10.1080/17442509108833675
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发表时间：
1991-09
期刊：
影响因子：
--
通讯作者：
N. Karoui;I. Karatzas
中科院分区：
文献类型：
--
作者：
N. Karoui;I. Karatzas
这一思想表明，直接集成的最佳风险的停止问题的布朗运动，产生所谓的单调跟随随机控制问题的值函数，并提供了一个明确的建设其最佳过程。利用连续半鞅平衡理论的思想，为这些问题的值函数寻找新颖而有用的表示。
This idea is employed to show that direct integration of the optimal risk in a stopping problem for Brownian motion, yields the value function of the so-called monotone follower stochastic control problem and provides an explicit construction of its optimal process. Ideas from the theory of balayage for continuous semimartingales are employed, in order to find novel and useful representations for the value functions of these problems.