A note on randomized Shepp's urn scheme

DOI10.1016/J.DISC.2008.02.017zbMATH Open1170.60018OpenAlexW2033483179MaRDI QIDQ1024498FDOQ1024498

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

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

zbMATH Keywords

stopping timeoptimal drawing policyShepp's urn schemethe \(k\) in the hole policy

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

• With or without replacement? Sampling uncertainty in Shepp’s urn scheme
• A Random Version of Shepp's Urn Scheme

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