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math.PR2018★ 3 cited
On a Stochastic Representation Theorem for Meyer-measurable Processes and its Applications in Stochastic Optimal Control and Optimal Stopping
Peter Bank, David Besslich
In this paper we study a representation problem first considered in a simpler version by Bank and El Karoui [2004]. A key ingredient to this problem is a random measure on the…
math.PR2018
On Lenglart's Theory of Meyer-sigma-fields and El Karoui's Theory of Optimal Stopping
Peter Bank, David Besslich
We summarize the general results of El Karoui [1981] on optimal stopping problems for processes which are measurable with respect to Meyer--fields. Meyer--fields are due to L…
math.PR2015
The Scaling Limit of Superreplication Prices with Small Transaction Costs in the Multivariate Case
Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198--221, (1995).] showed how to obtain non-trivial scaling limits of superreplicat…