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Continuous-time gambling problems
Published online by Cambridge University Press: 01 July 2016
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.
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- Research Article
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- Copyright © Applied Probability Trust 1974
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