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

DOI10.1017/jpr.2022.78zbMath1516.60025arXiv1911.11971OpenAlexW2991617780MaRDI QIDQ6102059

Kristoffer J. Glover

Publication date: 8 May 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.11971

zbMATH Keywords

samplingoptimal stoppingparameter uncertaintyBrownian bridgesShepp's urn scheme

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

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