Optimal stopping for Shepp's urn with risk aversion (Q2804004)

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Optimal stopping for Shepp's urn with risk aversion
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    title
    Optimal stopping for Shepp's urn with risk aversion (English)
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    author
    Ilie Grigorescu
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    Min Kang
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    published in
    Stochastics
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    publication date
    27 April 2016
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    Mathematics Subject Classification ID
    60G40
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    60C05
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    60J65
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    91A60
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    93E20
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    zbMATH DE Number
    6574555
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    zbMATH Keywords
    optimal stopping
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    Shepp's urn
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    risk aversion
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    Chow-Robbins problem
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    Brownian bridge
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    optimal strategy
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