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- Publications
- Influence

Continuous-Time Red and Black: How to Control a Diffusion to a Goal

- Victor C. Pestien, W. Sudderth
- Mathematics, Computer Science
- Math. Oper. Res.
- 1 November 1985

A player starts at x in (0, 1) and tries to reach 1. The process ( X t , t (ge) 0) of his positions moves according to a diffusion process (or, more generally, an Ito process) whose infinitesimal… Expand

Continuous-Time Casino Problems

- Victor C. Pestien, W. Sudderth
- Mathematics, Computer Science
- Math. Oper. Res.
- 1 May 1988

A gambler or an investor seeks to increase his fortune by a given amount before going bankrupt. The problem can be formulated as a stochastic control problem on an interval and is called a… Expand

An extended Fatou equation and continuous-time gambling

- Victor C. Pestien
- Mathematics
- 1 June 1982

Let {Z,, t 0} be an optional stochastic process and let 3 be the directed set of almost-surely-finite stopping times. If lim sup, EZ < oo, then E(lim sup Z, = lim sup, EZ,. This equality is employed… Expand

Gambling theory and stochastic control

- Victor C. Pestien, W. Sudderth
- Computer Science
- 26th IEEE Conference on Decision and Control
- 1 December 1987

Weak approximation of strategies in measurable gambling.

- Victor C. Pestien
- Mathematics
- 1 November 1983