A note on randomized Shepp's urn scheme

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/27769

Title:	A note on randomized Shepp's urn scheme
Authors:	Hung,YC
Contributors:	統計研究所
Date:	2009
Issue Date:	2010-06-29 19:33:14 (UTC+8)
Publisher:	中央大學
Abstract:	Shepp's urn model is a useful tool for analyzing the stopping-rule problems in economics and finance. In [R.W. Chen, A. Zame, C.T. Lin, H. Wu, A random version of Shepp's urn scheme, SIAM J. Discrete Math. 19 (1) (2005) 149-164], Chen et al. considered a random version of Shepp's urn scheme and showed that a simple drawing policy (called "the k in the hole policy") can asymptotically maximize the expected value of the game. By extending the work done by Chen et al., this note considers a more general urn scheme that is better Suited to real-life price models in which the short-term value might not fluctuate. Further, "the k in the hole policy" is shown to be asymptotically optimal for this new urn Scheme. (C) 2008 Elsevier B.V. All rights reserved.
Relation:	DISCRETE MATHEMATICS
Appears in Collections:	[Graduate Institute of Statistics] journal & Dissertation

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