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. [Google Scholar]
  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. [Google Scholar]
  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). [Google Scholar]
  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. [Google Scholar]
  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). [Google Scholar]
  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. [Google Scholar]
  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] [Google Scholar]
  8. T. Knispel, Eine nichtlineare Riesz-Darstellung bezüglich additiver Funktionale im potentialtheoretischen Kontext. Diploma Thesis, Humboldt University, Berlin (2004). [Google Scholar]
  9. A.N. Shiryaev, Statistical Sequential Analysis. AMS, Providence, Transl. Math. Monographs 38 (1973). [Google Scholar]

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