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arXiv · 1605.01863

Exercising Control When Confronted by a (Brownian) Spider

Philip Ernst
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Abstract

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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Philip Ernst. 2016-05-06. Exercising Control When Confronted by a (Brownian) Spider. https://arxiv.org/abs/1605.01863

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