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Teoriya Veroyatnostei i ee Primeneniya, 1978, Volume 23, Issue 1, Pages 143–148 (Mi tvp2983)  

This article is cited in 3 scientific papers (total in 3 papers)

Short Communications

On optimal stopping of Wiener process with incomplete data

H. Fährmann

GDR
Full-text PDF (335 kB) Citations (3)
Abstract: We consider the optimal stopping problem for a Wiener process $W$ with reward $g(t,x)=x/(1+t)$ under the assumption that only the process
$$ \xi_t^{\varepsilon}=\int_0^t W_s\,ds+\varepsilon\widetilde W_t $$
is observed, where $\varepsilon>0$ and $\widetilde W$ is a Wiener process independent of $W$.
The convergence rate of the optimal mean reward $s^{\varepsilon}$ in this «$\varepsilon$-problem» to the optimal mean reward $s^0$ in the «0-problem» when $\varepsilon\to 0$ turns out to be of order $\sqrt{\varepsilon}$. It is shown that the observation domain is limited by a function for which an equation is derived.
Received: 05.03.1976
English version:
Theory of Probability and its Applications, 1978, Volume 23, Issue 1, Pages 138–143
DOI: https://doi.org/10.1137/1123012
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: H. Fährmann, “On optimal stopping of Wiener process with incomplete data”, Teor. Veroyatnost. i Primenen., 23:1 (1978), 143–148; Theory Probab. Appl., 23:1 (1978), 138–143
Citation in format AMSBIB
\Bibitem{Fah78}
\by H.~F\"ahrmann
\paper On optimal stopping of Wiener process with incomplete data
\jour Teor. Veroyatnost. i Primenen.
\yr 1978
\vol 23
\issue 1
\pages 143--148
\mathnet{http://mi.mathnet.ru/tvp2983}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=486940}
\zmath{https://zbmath.org/?q=an:0423.62064|0386.62071}
\transl
\jour Theory Probab. Appl.
\yr 1978
\vol 23
\issue 1
\pages 138--143
\crossref{https://doi.org/10.1137/1123012}
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  • https://www.mathnet.ru/eng/tvp/v23/i1/p143
  • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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