A continuity question of Dubins and Savage

DOI10.1017/jpr.2017.11zbMath1400.60054OpenAlexW2687352668MaRDI QIDQ4684865

William D. Sudderth, Rida Laraki

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9d897a15febfccc860c5fba762342291db9315b5

zbMATH Keywords

gambling theoryMarkov decision theory convergence of value functions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40)

Cites Work

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• Measurable, nonleavable gambling problems
• Control and stopping of a diffusion process on an interval
• On stability for optimization problems
• Martingale approach to stochastic control with discretionary stopping
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Continuous-Time Casino Problems
• Convergence of Dynamic Programming Models
• Utility Maximization with Discretionary Stopping
• Measurable Gambling Houses
• On the Existence of Good Stationary Strategies
• The Preservation of Continuity and Lipschitz Continuity by Optimal Reward Operators

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