Continuous-Time Casino Problems
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Publication:3798580
DOI10.1287/moor.13.2.364zbMath0652.93069MaRDI QIDQ3798580
William D. Sudderth, Victor C. Pestien
Publication date: 1988
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11299/199464
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
91A60: Probabilistic games; gambling
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