CONTINUOUS-TIME CASINO PROBLEMS

被引：12

作者：

PESTIEN, VC ^{[1
]}

SUDDERTH, WD ^{[1
]}

机构：

[1] UNIV MINNESOTA,SCH STAT,MINNEAPOLIS,MN 55455

来源：

关键词：

D O I：

10.1287/moor.13.2.364

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：364 / 376

页数：13

共 13 条

[1]

Dellacherie C., 1982, N HOLLAND MATH STUD, V72

[2]

Dubins L.E., 1976, INEQUALITIES STOCHAS

[3]

Fleming W.H., 1975, DETERMINISTIC STOCHA

[4]

Gihman II, 1972, STOCHASTIC DIFFERENT

[5] MINIMIZING OR MAXIMIZING THE EXPECTED TIME TO REACH ZERO [J].

HEATH, D ;

OREY, S ;

PESTIEN, V ;

SUDDERTH, W .

[6]

HEATH D, 1974, ADV APPL PROBAB, V6, P651

[7]

KARLIN S, 1981, 2ND COURSE STOCHASTI

[8]

Krylov N.V., 1980, CONTROLLED DIFFUSION

[9] ITOS CALCULUS IN FINANCIAL DECISION-MAKING [J].

MALLIARIS, AG .

[10] AN EXTENDED FATOU EQUATION AND CONTINUOUS-TIME GAMBLING [J].

PESTIEN, VC .