scientific article; zbMATH DE number 774030

MaRDI QIDQ4839085zbMATH OpenFDO

Authors R. Cairoli, Robert C. Dalang

Publication date 15 January 1996

zbMATH Keywords

Brownian motionoptimal stoppingproblem of optimal switching between two independent Brownian motionsrandom walk

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Brownian motion (60J65)

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(4)

• Optimal switching between two random walks
• Optimal Switching among Several Brownian Motions
• An example of optimal switching between a wiener process and a deterministic motion with a non-zero switching cost
• Optimal switching between a pair of Brownian motions

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