Optimal stopping for Shepp's urn with risk aversion

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

zbMATH Keywords

optimal strategyoptimal stoppingBrownian bridgerisk aversionChow-Robbins problemShepp's urn

Mathematics Subject Classification ID

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

Related Items

With or without replacement? Sampling uncertainty in Shepp’s urn scheme

Cites Work

• On a simple optimal stopping problem
• Some Results for the Acceptance Urn Model
• 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