Sign in
Author

Conference

Journal

Organization

Year

DOI
Look for results that meet for the following criteria:
since
equal to
before
between
and
Search in all fields of study
Limit my searches in the following fields of study
Agriculture Science
Arts & Humanities
Biology
Chemistry
Computer Science
Economics & Business
Engineering
Environmental Sciences
Geosciences
Material Science
Mathematics
Medicine
Physics
Social Science
Multidisciplinary
Keywords
(7)
Ergodic Theorem
Ergodic Theory
Optimal Control
Optimal Stopping
Optimal Stopping Time
Random Variable
Value Function
Subscribe
Academic
Publications
Conditional Essential Suprema with Applications
Conditional Essential Suprema with Applications,10.1007/s0024500307764,Applied Mathematics and Optimization,E. N. Barron,P. Cardaliaguet,R. Jensen
Edit
Conditional Essential Suprema with Applications
(
Citations: 6
)
BibTex

RIS

RefWorks
Download
E. N. Barron
,
P. Cardaliaguet
,
R. Jensen
The conditional supremum of a
random variable
X on a probability space given a subsalgebra is defined and proved to exist as an application of the Radon–Nikodym theorem in L \infty. After developing some of its properties we use it to prove a new
ergodic theorem
showing that a time maximum is a space maximum. The concept of a maxingale is introduced and used to develop the new theory of
optimal stopping
in L \infty and the concept of an absolutely
optimal stopping
time. Finally, the conditional max is used to reformulate the
optimal control
of the worstcase value function.
Journal:
Applied Mathematics and Optimization  APPL MATH OPT
, vol. 48, no. 3, pp. 229253, 2003
DOI:
10.1007/s0024500307764
Cumulative
Annual
View Publication
The following links allow you to view full publications. These links are maintained by other sources not affiliated with Microsoft Academic Search.
(
www.springerlink.com
)
(
www.springerlink.com
)
(
www.springerlink.com
)
(
www.springerlink.com
)
More »
Citation Context
(4)
...For an extensive discussion of conditional essential suprema we refer to Barron, Cardaliaguet and Jensen [
1
]...
...Proposition 2.6.b in [
1
] then yields y ess inf zL(t) zL(s) almost surely...
Klaas Schulze
.
Asymptotic Maturity Behavior of the Term Structure
...Remark 2.12. The conditional infimum is defined in Barron, Cardialaguet and Jensen [
9
]...
Nicole El Karoui
,
et al.
MaxPlus decomposition of supermartingales and convex order. Applicati...
...where the essential supremum is intended with respect to the probability measure Px. This means in particular that the process V (Xt) is a positive supermaxingale according to the definition given in [
10
]: this is the natural counterpart of the requirement on the process V (Xt) to be a positive supermartingale in the context of stability in probability...
...The link between worstcase value functions and viscosity solutions to geometric second order partial differential equations has been recently treated by Soner and Touzi in [25] (see also [
10
])...
Annalisa Cesaroni
.
A converse Lyapunov theorem for almost sure stabilizability
...Barron, Cardaliaguet and Jensen have introduced in [
4
] the notion of conditional maximum relative to a sub algebra F. Let ( ;G;P) a probability space...
Jocelyne BionNadal
.
Conditional risk measure and robust representation of convex condition...
References
(11)
HopfLax formulas for semicontinuous data
(
Citations: 20
)
O. Alvarez
,
E. N. Barron
,
H. Ishii
Journal:
Indiana University Mathematics Journal  INDIANA UNIV MATH J
, vol. 48, no. 3, pp. 00, 1999
Total risk aversion, stochastic optimal control, and differential games
(
Citations: 12
)
E. N. Barron
,
R. Jensen
Journal:
Applied Mathematics and Optimization  APPL MATH OPT
, vol. 19, no. 1, pp. 313327, 1989
Total risk aversion and the pricing of options
(
Citations: 2
)
E. N. Barron
,
R. Jensen
Journal:
Applied Mathematics and Optimization  APPL MATH OPT
, vol. 23, no. 1, pp. 5176, 1991
A Representation Formula for the Mean Curvature Motion
(
Citations: 24
)
R. Buckdahn
,
P. Cardaliaguet
,
M. Quincampoix
Journal:
Siam Journal on Mathematical Analysis  SIAM J MATH ANAL
, vol. 33, no. 4, 2001
Great Expectations: The Theory of Optimal Stopping
(
Citations: 279
)
Y. S. Chow
,
H. Robbins
,
D. Siegmund
Published in 1971.
Sort by:
Citations
(6)
What risk measures are time consistent for all filtrations?
Samuel N. Cohen
Published in 2010.
Asymptotic Maturity Behavior of the Term Structure
Klaas Schulze
Published in 2009.
MaxPlus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
(
Citations: 2
)
Nicole El Karoui
,
Asma Meziou
Journal:
Annals of Probability  ANN PROBAB
, vol. 36, no. 2, pp. 647697, 2008
A converse Lyapunov theorem for almost sure stabilizability
(
Citations: 5
)
Annalisa Cesaroni
Journal:
Systems & Control Letters  SYST CONTROL LETT
, vol. 55, no. 12, pp. 992998, 2006
Conditional risk measure and robust representation of convex conditional risk measures
(
Citations: 18
)
Jocelyne BionNadal