Now showing items 1-2 of 2

    • Exercising control when confronted by a (Brownian) spider 

      Ernst, Philip (2016)
      We consider the Brownian “spider,” a construct introduced in Dubins and Schwarz (1988) and in Barlow and Pitman (1989). In this note, the author proves the “spider” bounds by using the dynamic programming strategy of ...
    • On the time for Brownian motion to visit every point on a circle 

      Ernst, Philip; Shepp, Larry (2016)
      Consider a Wiener process W on a circle of circumference L. We prove the rather surprising result that the Laplace transform of the distribution of the first time, θL, when the Wiener process has visited every point of the ...