Continuous-Time Red and Black: How to Control a Diffusion to a Goal
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Publication:3728774
DOI10.1287/moor.10.4.599zbMath0596.93052OpenAlexW2146024408MaRDI QIDQ3728774
Victor C. Pestien, William D. Sudderth
Publication date: 1985
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11299/199435
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60) Model systems in control theory (93C99)
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