Optimal switching between a pair of Brownian motions

DOI10.1214/aop/1176990734zbMath0712.60046OpenAlexW2040503715MaRDI QIDQ749030

Robert J. Vanderbei, Avishai Mandelbaum, Lawrence A. Shepp

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1214/aop/1176990734

zbMATH Keywords

optimal stoppingswitching strategyBrownian motionsnonlinear Dirichlet problemoptional increasing pathtwo parameter processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Ordinary differential equations and systems with randomness (34F05)

Related Items (6)

Minimizing the time to a decision ⋮ Optimal learning before choice ⋮ Optimal switching between cash-flow streams ⋮ The right time to sell a stock whose price is driven by Markovian noise ⋮ Optimal expulsion and optimal confinement of a Brownian particle with a switching cost ⋮ Stochastic bifurcation models

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