Optimal stopping of constrained Brownian motion

DOI10.2307/3212325MaRDI QIDQ5651972zbMATH OpenOpenAlexFDO

Authors Hans Föllmer

Publication date 1972

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3212325

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Probabilistic potential theory (60J45)

Cited in

(5)

• With or without replacement? Sampling uncertainty in Shepp’s urn scheme
• Optimal stopping for the exponential of a Brownian bridge
• On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems
• Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
• Rank-based selection strategies for the random walk process

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