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Teoriya Veroyatnostei i ee Primeneniya, 1975, Volume 20, Issue 2, Pages 397–401 (Mi tvp3149)  

This article is cited in 13 scientific papers (total in 13 papers)

Short Communications

The optimal stopping of an integral with respect to the Wiener process

T. P. Miroshnichenko

Moscow
Abstract: In this paper an optimal bound is found in the stopping problem, for the Wiener process $W_t$, $0\le t\le1$, with gain
$$ V(0,x)=\sup_{0\le\tau\le1}\mathbf M\int_0^\tau(W_s+x)\,ds, $$
where $\tau$ is a Markov time with respect to the family of $\sigma$-algebras $\mathscr F_t^W=\sigma\{W_s,s\le t\}$.
Received: 23.07.1974
English version:
Theory of Probability and its Applications, 1976, Volume 20, Issue 2, Pages 387–391
DOI: https://doi.org/10.1137/1120044
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: T. P. Miroshnichenko, “The optimal stopping of an integral with respect to the Wiener process”, Teor. Veroyatnost. i Primenen., 20:2 (1975), 397–401; Theory Probab. Appl., 20:2 (1976), 387–391
Citation in format AMSBIB
\Bibitem{Mir75}
\by T.~P.~Miroshnichenko
\paper The optimal stopping of an integral with respect to the Wiener process
\jour Teor. Veroyatnost. i Primenen.
\yr 1975
\vol 20
\issue 2
\pages 397--401
\mathnet{http://mi.mathnet.ru/tvp3149}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=383519}
\zmath{https://zbmath.org/?q=an:0346.60027}
\transl
\jour Theory Probab. Appl.
\yr 1976
\vol 20
\issue 2
\pages 387--391
\crossref{https://doi.org/10.1137/1120044}
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  • https://www.mathnet.ru/eng/tvp3149
  • https://www.mathnet.ru/eng/tvp/v20/i2/p397
  • This publication is cited in the following 13 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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