Optimal switching between a pair of Brownian motions
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Publication:749030
DOI10.1214/aop/1176990734zbMath0712.60046MaRDI QIDQ749030
Robert J. Vanderbei, Avishai Mandelbaum, Lawrence A. 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
optimal stopping; switching strategy; Brownian motions; nonlinear Dirichlet problem; optional increasing path; two parameter processes
60G40: Stopping times; optimal stopping problems; gambling theory
60G07: General theory of stochastic processes
34F05: Ordinary differential equations and systems with randomness
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