Optimal stopping problems for Brownian motion
- 1 January 1970
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 2 (2) , 259-286
- https://doi.org/10.2307/1426320
Abstract
This paper is concerned with the general problem of choosing an optimal stopping time for a Brownian motion process, where the cost associated with any trajectory depends only on its final time and position.Keywords
This publication has 8 references indexed in Scilit:
- Optimal Stopping in a Markov ProcessThe Annals of Mathematical Statistics, 1968
- On Stefan’s Problem and Optimal Stopping Rules for Markov ProcessesTheory of Probability and Its Applications, 1966
- Sequential Test for the Mean of a Normal Distribution III (Small $t$)The Annals of Mathematical Statistics, 1965
- Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)The Annals of Mathematical Statistics, 1965
- Sequential Tests for the Mean of a Normal Distribution II (Large $t$)The Annals of Mathematical Statistics, 1964
- Bayes procedures for deciding the Sign of a normal meanMathematical Proceedings of the Cambridge Philosophical Society, 1962
- A probability approach to the heat equationTransactions of the American Mathematical Society, 1955
- On the Solutions of the Equation of Heat ConductionAmerican Journal of Mathematics, 1950