Optimal switching between two random walks

DOI10.1214/aop/1176987812zbMath0852.60048OpenAlexW2616162963MaRDI QIDQ1917212

Robert C. Dalang, R. Cairoli

Publication date: 2 December 1996

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176987812

zbMATH Keywords

stochastic controlrandom walkvalue functionoptimal switching

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stopping in statistics (62L15)

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