Exercising control when confronted by a (Brownian) spider

DOI10.1016/j.orl.2016.05.001zbMath1380.90275arXiv1605.01863OpenAlexW2963812425MaRDI QIDQ1694781

Philip A. Ernst

Publication date: 6 February 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.01863

zbMATH Keywords

stochastic optimizationdynamic programmingBrownian motionmartingales

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (3)

Diffusion spiders: Green kernel, excessive functions and optimal stopping ⋮ On the arbitrage price of European call options ⋮ Semimartingales on rays, Walsh diffusions, and related problems of control and stopping

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