Minimizing the time to a decision

DOI10.1214/10-AAP737MaRDI QIDQ655582zbMATH OpenFDO

Authors J. Warren, Peter Windridge, S. D. Jacka

Publication date 4 January 2012

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.5413

zbMATH Keywords

optimal stochastic controldynamic resource allocationmultiparameter processesternary majority

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

Abstract: Suppose we have three independent copies of a regular diffusion on $[0,1]$ with absorbing boundaries. Of these diffusions, either at least two are absorbed at the upper boundary or at least two at the lower boundary. In this way, they determine a majority decision between 0 and 1. We show that the strategy that always runs the diffusion whose value is currently between the other two reveals the majority decision whilst minimizing the total time spent running the processes.

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