Optimal stopping for Shepp's urn with risk aversion

DOI10.1080/17442508.2014.995660zbMATH Open1337.60070OpenAlexW2053634408WikidataQ57439503 ScholiaQ57439503MaRDI QIDQ2804004FDOQ2804004

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

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zbMATH Keywords

optimal stoppingrisk aversionBrownian bridgeoptimal strategyChow-Robbins problemShepp's urn

Mathematics Subject Classification ID

Brownian motion (60J65) Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Probabilistic games; gambling (91A60)

Cites Work

• Explicit Solutions to Some Problems of Optimal Stopping
• On a simple optimal stopping problem
• An Optimal Acceptance Policy for an Urn Scheme
• Corrected random walk approximations to free boundary problems in optimal stopping
• Some Results for the Acceptance Urn Model

Cited In (2)

• With or without replacement? Sampling uncertainty in Shepp’s urn scheme
• Some Results for the Acceptance Urn Model

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