The controller-and-stopper game for a linear diffusion.
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Publication:1872219
DOI10.1214/aop/1015345598zbMath1039.60043OpenAlexW2117732143MaRDI QIDQ1872219
William D. Sudderth, Ioannis Karatzas
Publication date: 6 May 2003
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1015345598
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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Cites Work
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- Control and stopping of a diffusion process on an interval
- Optimal Stopping of One-Dimensional Diffusions
- Continuous-Time Red and Black: How to Control a Diffusion to a Goal
- Controlling a Process to a Goal in Finite Time
- THE SPACE OF EXITS OF A MARKOV PROCESS
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