Optimal tracking of brownian motion

DOI10.1080/17442509508834007zbMATH Open0855.93098OpenAlexW1981816704MaRDI QIDQ4715823

Larry Shepp, Yi-Ching Yao, David Assaf

Publication date: 4 February 1997

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509508834007

zbMATH Keywords

variational calculusoptimal stoppingvalueoptimal boundaryfuel follower problem

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

Related Items (4)

Multiplicative linear search for a Brownian target motion ⋮ Enhancement of target location rates by stochastic modulation of Brownian motion ⋮ Change-point problems: bibliography and review ⋮ Pathwise Optimality for Benchmark Tracking

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