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.
Cite
@article{arxiv.1605.01863,
title = {Exercising Control When Confronted by a (Brownian) Spider},
author = {Philip Ernst},
journal= {arXiv preprint arXiv:1605.01863},
year = {2016}
}
Comments
Final version. Operations Research Letters (2016); 8 pages, 1 figure