Continuous-Time Casino Problems

DOI10.1287/MOOR.13.2.364MaRDI QIDQ3798580zbMATH OpenOpenAlexFDO

Authors Victor C. Pestien, William D. Sudderth

Publication date 1988

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11299/199464

zbMATH Keywords

continuous-timeContinuous-time casino problemsvalue function

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Probabilistic games; gambling (91A60) Optimal stochastic control (93E20)

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• Controlling a stopped diffusion process to reach a goal

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