Optimal stopping of constrained Brownian motion

DOI10.2307/3212325zbMath0241.60034OpenAlexW4239979826MaRDI QIDQ5651972

Hans Föllmer

Publication date: 1972

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

Full work available at URL: https://doi.org/10.2307/3212325

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Probabilistic potential theory (60J45) Optimal stopping in statistics (62L15)

Related Items (4)

Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach ⋮ With or without replacement? Sampling uncertainty in Shepp’s urn scheme ⋮ Optimal stopping for the exponential of a Brownian bridge ⋮ Rank-based selection strategies for the random walk process

This page was built for publication: Optimal stopping of constrained Brownian motion