3 papers
math.PR2018
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.OC2018
Modelling information flows by Meyer--fields in the singular stochastic control problem of irreversible investment
Peter Bank, David Besslich
In stochastic control problems delicate issues arise when the controlled system can jump due to both exogenous shocks and endogenous controls. Here one has to specify what the cont…
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…