A note on randomized Shepp's urn scheme

DOI10.1016/J.DISC.2008.02.017MaRDI QIDQ1024498zbMATH OpenOpenAlexFDO

Authors Ying-Chao Hung

Publication date 17 June 2009

Published in Discrete Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.disc.2008.02.017

zbMATH Keywords

optimal drawing policyShepp's urn schemestopping timethe \(k\) in the hole policy

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Special processes (60K99)

Recommendations

• A Random Version of Shepp's Urn Scheme
• Optimal stopping with a capacity constraint: generalizing Shepp's urn scheme
• With or without replacement? Sampling uncertainty in Shepp’s urn scheme
• Optimal stopping for Shepp's urn with risk aversion
• An Optimal Acceptance Policy for an Urn Scheme

Cites work

• A Random Version of Shepp's Urn Scheme
• Explicit Solutions to Some Problems of Optimal Stopping
• On a simple optimal stopping problem
• On-line VWAP Trading Strategies

Cited in

(4)

• Optimal stopping with a capacity constraint: generalizing Shepp's urn scheme
• Optimal stopping for Shepp's urn with risk aversion
• A Random Version of Shepp's Urn Scheme
• With or without replacement? Sampling uncertainty in Shepp’s urn scheme

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