A fully sequential procedure for known and equal variances based on multivariate brownian motion.

A. B. Dieker Seong-Hee Kim

Published in: WSC (2014)

Keyphrases

brownian motion
optimal stopping
stochastic process
differential equations
optimal control
diffusion process
poisson process
stochastic processes
vector valued
image processing
dynamic programming
dynamical systems
closed form solutions
heavy tailed