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Continuous-time gambling problems

Published online by Cambridge University Press:  01 July 2016

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

Keywords

GAMBLING THEORYSTOCHASTIC CONTROLDYNAMIC PROGRAMMINGOPTIMAL STRATEGIESCONTINUOUS-TIME PROCESSESBROWNIAN MOTION
Type
Research Article
Information
Advances in Applied Probability , Volume 6 , Issue 4 , December 1974 , pp. 651 - 665
Copyright
Copyright © Applied Probability Trust 1974 

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References

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