Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions
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Publication:5130894
DOI10.1137/19M1270513zbMath1450.60031arXiv1906.11635MaRDI QIDQ5130894
Young-Heon Kim, Tongseok Lim, Nassif Ghoussoub
Publication date: 29 October 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.11635
Probability distributions: general theory (60E05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal transportation (49Q22)
Related Items (3)
Geometry of vectorial martingale optimal transportations and duality ⋮ Backward and forward Wasserstein projections in stochastic order ⋮ Optimal stopping of stochastic transport minimizing submartingale costs
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