| 漂移布朗运动的最优加倍点 |
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| 引用本文： | 唐加山. 漂移布朗运动的最优加倍点[J]. 工程数学学报, 2001, 18(2): 54-60 |
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| 作者姓名： | 唐加山 |
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| 作者单位： | 南京邮电学院应用数理系, |
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| 摘 要： | 在利用布朗运动进行的赌博中，若允许在某时刻对赌本进行加倍，并且在每轮赌局中允许加倍的最多次数限定为n,Ross S M(1988)与罗乔林考虑了当n=∞时最优加倍点的选取问题，在对带漂移的布朗运动考虑了类似的问题，对任意的1≤n≤∞,都具体给出了各次最优加倍点，推广了Ross与罗的结构，同时对加倍点的性质进行了讨论。
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| 关 键 词： | 漂移布朗运动 加倍点 最优决策 拒绝点 随机过程 维纳过程 |
| 文章编号： | 1005-3085(2001)01-0054-60 |
| 修稿时间： | 2000-02-24 |
Optimal Doubling Points for Brownian Motion with Drift |
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| TANG Jia-shan. Optimal Doubling Points for Brownian Motion with Drift[J]. Chinese Journal of Engineering Mathematics, 2001, 18(2): 54-60 |
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| Authors: | TANG Jia-shan |
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| Abstract: | Suppose that doubling the stake is permitted in the gamble of Brownian motion and the total numbers of doubling times in one round is limited by n, 1n∞, Ross S M(1983) and Luo Qiaolin(1992) discussed the problem of optimal doubling points as n=∞. In this paper, a similar problem for the Brownian motion with drift is investigated, and, for any natural number n, those n doubling points are given, which extend the results in Ross and Luo,simultaneously, properties of these doubling points are considered. |
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