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題名: | A Note on Randomized Shepp``s Urn Scheme | 作者: | Hung, Ying-Chao | 貢獻者: | 統計系 | 日期: | Apr-2009 | 上傳時間: | 7-Jan-2015 | 摘要: | 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. | 關聯: | Discrete Mathematics,309(6),1749-1759 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
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