scientific article; zbMATH DE number 4121165

MaRDI QIDQ4734584zbMATH OpenFDO

Authors K. B. Athreya, Ananda Weerasinghe

Publication date 1989

zbMATH Keywords

gambler's ruinlocal timesoptimal control problem

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Diffusion processes (60J60) Probabilistic games; gambling (91A60) Optimal stochastic control (93E20)

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• Hitting time of a corner for a reflected diffusion in the square

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