A stochastic representation theorem with applications to optimization and obstacle problems
Year of publication: |
2001
|
---|---|
Authors: | Bank, Peter ; El Karoui, Nicole |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | inhomogeneous convexity | Gittins index |
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