Free Access
Volume 11, February 2007
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
Page(s) 89 - 101
DOI https://doi.org/10.1051/ps:2007008
Published online 01 March 2007
  1. P. Bank and N. El Karoui, A Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems. Ann. Probab. 32 (2005) 1030–1067.
  2. P. Bank and H. Föllmer, American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View, in Paris-Princeton Lectures on Mathematical Finance 2002, Lect. Notes Math. 1814 (2003) 1–42.
  3. C. Dellacherie and P. Meyer, Probabilités et potentiel. Chapitres XII–XVI: Théorie du potentiel associée à une résolvante, Théorie des processus de Markov, Hermann, Paris (1987).
  4. N. El Karoui, Les aspects probabilistes du contrôle stochastique, in Ninth Saint Flour Probability Summer School-1979 (Saint Flour, 1979), Lect. Notes Math. 876 (1981) 73–238.
  5. N. El Karoui, Max-Plus Decomposition of Supermartingale - Application to Portfolio Insurance, http://www.ima.umn.edu/talks/workshops/4-12-16.2004/el_karoui/IMA2004.pdf (2004).
  6. N. El Karoui and H. Föllmer, A non-linear Riesz representation in probabilistic potential theory, in Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques 41 (2005) 269–283.
  7. N. El Karoui and A. Meziou, Constrained optimization with respect to stochastic dominance: Application to portfolio insurance. Math. Finance 16 (2006) 103–117. [CrossRef] [MathSciNet]
  8. T. Knispel, Eine nichtlineare Riesz-Darstellung bezüglich additiver Funktionale im potentialtheoretischen Kontext. Diploma Thesis, Humboldt University, Berlin (2004).
  9. A.N. Shiryaev, Statistical Sequential Analysis. AMS, Providence, Transl. Math. Monographs 38 (1973).

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