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Continuous-time gambling problems

Published online by Cambridge University Press:  01 July 2016

David C. Heath
Affiliation:
University of Minnesota
William D. Sudderth
Affiliation:
University of Minnesota

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.

Type
Research Article
Copyright
Copyright © Applied Probability Trust 1974 

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