Optimal stopping for Shepp's urn with risk aversion
From MaRDI portal
Publication:2804004
DOI10.1080/17442508.2014.995660zbMath1337.60070OpenAlexW2053634408WikidataQ57439503 ScholiaQ57439503MaRDI QIDQ2804004
Ilie Grigorescu, Min Kang, Robert W. Chen
Publication date: 27 April 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2014.995660
Brownian motion (60J65) Optimal stochastic control (93E20) Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)
Related Items
Cites Work