On a Stochastic Representation Theorem for Meyer-measurable Processes and its Applications in Stochastic Optimal Control and Optimal Stopping
Peter Bank,
David Besslich
Abstract: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 µ on the time axis which in the present paper is allowed to have atoms. Such atoms turn out to not only pose serious technical challenges in the proof of the representation theorem, but actually have significant meaning in its applications, for instance, in irreversible investment problems. These applications also suggest to study the problem f… Show more
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