Author:
Heath David C.,Sudderth William D.
Abstract
An abstract gambler's problem is formulated in a continuous-time setting and analogues are proved for some of the discrete-time results of Dubins and Savage in their book How to Gamble if You Must. Applications are made to problems of controlling a Brownian motion process.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
5 articles.
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