MINIMIZING OR MAXIMIZING THE EXPECTED TIME TO REACH ZERO

被引：35

作者：

HEATH, D

OREY, S

PESTIEN, V

SUDDERTH, W

机构：

[1] UNIV MINNESOTA,SCH MATH,MINNEAPOLIS,MN 55455

[2] UNIV MINNESOTA,SCH STAT,MINNEAPOLIS,MN 55455

[3] UNIV MIAMI,DEPT MATH & COMP SCI,CORAL GABLES,FL 33124

来源：

关键词：

GAMBLING THEORY - PORTFOLIO SELECTION;

D O I：

10.1137/0325012

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

(Edited Abstract)

引用

页码：195 / 205

页数：11

共 9 条

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[3]

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[4]

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[5]

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[6] A NEW INTERPRETATION OF INFORMATION RATE [J].

KELLY, JL .

BELL SYSTEM TECHNICAL JOURNAL, 1956, 35 (04) :917-926

[7]

Krylov N.V., 1980, CONTROLLED DIFFUSION

[8] ITOS CALCULUS IN FINANCIAL DECISION-MAKING [J].

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[9]

PESTIEN V, 1983, MATH OPER RES, V10, P599