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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1975 Volume 20, Issue 2, Pages 397–401 (Mi tvp3149)

This article is cited in 13 papers

Short Communications

The optimal stopping of an integral with respect to the Wiener process

T. P. Miroshnichenko

Moscow

Abstract: In this paper an optimal bound is found in the stopping problem, for the Wiener process $W_t$, $0\le t\le1$, with gain
$$ V(0,x)=\sup_{0\le\tau\le1}\mathbf M\int_0^\tau(W_s+x)\,ds, $$
where $\tau$ is a Markov time with respect to the family of $\sigma$-algebras $\mathscr F_t^W=\sigma\{W_s,s\le t\}$.

Received: 23.07.1974


 English version:
Theory of Probability and its Applications, 1976, 20:2, 387–391

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