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dc.contributor.authorErnst, Philip
dc.date.accessioned 2017-06-05T19:27:05Z
dc.date.available 2017-06-05T19:27:05Z
dc.date.issued 2016
dc.identifier.citation Ernst, Philip. "Exercising control when confronted by a (Brownian) spider." Operations Research Letters, 44, no. 4 (2016) Elsevier: 487-490. https://doi.org/10.1016/j.orl.2016.05.001.
dc.identifier.urihttps://hdl.handle.net/1911/94785
dc.description.abstract 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 guessing the optimal reward function and subsequently establishing its optimality by proving its excessiveness.
dc.language.iso eng
dc.publisher Elsevier
dc.rights This article is licensed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) license.
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.title Exercising control when confronted by a (Brownian) spider
dc.type Journal article
dc.citation.journalTitle Operations Research Letters
dc.subject.keywordDynamic programming
Martingales
Stochastic optimization
Brownian motion
dc.citation.volumeNumber 44
dc.citation.issueNumber 4
dc.type.dcmi Text
dc.identifier.doihttps://doi.org/10.1016/j.orl.2016.05.001
dc.type.publication publisher version
dc.citation.firstpage 487
dc.citation.lastpage 490


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This article is licensed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) license.
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