Optimal stopping variables for Brownian motion

DOI10.1214/AOP/1176996711MaRDI QIDQ1844014zbMATH OpenOpenAlexFDO

Authors LeRoy H. Walker

Publication date 1974

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

Full work available at URL https://doi.org/10.1214/aop/1176996711

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cited in

(3)

• An optimal stopping problem with finite horizon for sums of i.i.d. random variables
• Solving non–linear optimal stopping problems by the method of time–change
• Existence and explicit determination of optimal stopping times

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