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Teoriya Veroyatnostei i ee Primeneniya, 1975, Volume 20, Issue 2, Pages 397–401
(Mi tvp3149)
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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
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
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https://www.mathnet.ru/eng/tvp3149 https://www.mathnet.ru/eng/tvp/v20/i2/p397
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Abstract page: | 175 | Full-text PDF : | 90 |
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