Article contents
Connections between optimal stopping and stochastic control I. Monotone follower problems
Published online by Cambridge University Press: 01 July 2016
Extract
The stochastic control problem of tracking a Brownian motion by a non-decreasing process (monotone follower) is related to a question of optimal stopping. Direct probabilistic arguments are employed to show that the two problems are equivalent and that both admit optimal solutions.
- Type
- Applied Probability in Biology and Engineering. An ORSA/TIMS Special Interest Meeting
- Information
- Copyright
- Copyright © Applied Probability Trust 1984
- 1
- Cited by