Exercising Control When Confronted by a (Brownian) Spider

25 May 2016  ·  Ernst Philip ·

We consider the Brownian "spider," a construct introduced in \cite{Dubins} and in \cite{Pitman}. 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...

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Probability