Optimal switching between a pair of Brownian motions
DOI10.1214/AOP/1176990734zbMATH Open0712.60046OpenAlexW2040503715MaRDI QIDQ749030FDOQ749030
Robert J. Vanderbei, Avishai Mandelbaum, Larry Shepp
Publication date: 1990
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176990734
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Ordinary differential equations and systems with randomness (34F05) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07)
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