Controlling a Process to a Goal in Finite Time

DOI10.1287/moor.14.3.400zbMath0673.93091MaRDI QIDQ3827922

William D. Sudderth, Ananda P. N. Weerasinghe

Publication date: 1989

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11299/199508

zbMATH Keywords

Ito process; bold play; red-and-black

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

91A60: Probabilistic games; gambling

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