Optimal Switching among Several Brownian Motions

DOI10.1137/0330061zbMath0763.60020OpenAlexW1985146269MaRDI QIDQ4021836

Robert J. Vanderbei

Publication date: 17 January 1993

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0330061

zbMATH Keywords

optimal controlswitching strategyfirst hitting timeoptimal switching among Brownian motions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45) Pluriharmonic and plurisubharmonic functions (31C10)

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