Exercising Control When Confronted by a (Brownian) Spider
arXiv:1605.01863
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.
Final version. Operations Research Letters (2016); 8 pages, 1 figure