Journal
OPERATIONS RESEARCH LETTERS
Volume 44, Issue 4, Pages 487-490Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.orl.2016.05.001
Keywords
Dynamic programming; Martingales; Stochastic optimization; Brownian motion
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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. (C) 2016 The Author(s). Published by Elsevier B.V.
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