A Random Version of Shepp's Urn Scheme

DOI10.1137/S0895480102418099MaRDI QIDQ5317606zbMATH OpenOpenAlexFDO

Authors Alan Zame, Chien-Tai Lin, Hsiu-Fen Wu, Robert W. Chen

Publication date 16 September 2005

Published in SIAM Journal on Discrete Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0895480102418099

zbMATH Keywords

stopping timeoptimal drawing policythe \(k\) in the hole policyrandom coin tossing process

Mathematics Subject Classification ID

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

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Cited in

(9)

• scientific article; zbMATH DE number 3890425 (Why is no real title available?)
• On-line VWAP Trading Strategies
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• Optimal stopping for Shepp's urn with risk aversion
• Some Results for the Acceptance Urn Model
• A note on randomized Shepp's urn scheme
• Easily determining which urns are 'favorable'

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