Optimal stopping for Shepp's urn with risk aversion

DOI10.1080/17442508.2014.995660MaRDI QIDQ2804004zbMATH OpenOpenAlexWikidataFDO

Authors 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

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)

Recommendations

• A Random Version of Shepp's Urn Scheme
• An Optimal Acceptance Policy for an Urn Scheme
• scientific article; zbMATH DE number 3949408
• A note on randomized Shepp's urn scheme
• scientific article; zbMATH DE number 3890425

Cites work

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

Cited in

(6)

• Optimal stopping of Gauss-Markov bridges
• With or without replacement? Sampling uncertainty in Shepp’s urn scheme
• A generalization of the Mabinogion sheep problem of D. Williams
• Some Results for the Acceptance Urn Model
• A note on randomized Shepp's urn scheme
• Optimal stopping with a capacity constraint: generalizing Shepp's urn scheme

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