Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/72655
DC Field | Value | Language |
---|---|---|
dc.contributor | 統計系 | |
dc.creator | Hung, Ying-Chao | |
dc.date | 2009-04 | |
dc.date.accessioned | 2015-01-07T08:57:07Z | - |
dc.date.available | 2015-01-07T08:57:07Z | - |
dc.date.issued | 2015-01-07T08:57:07Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/72655 | - |
dc.description.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. | |
dc.format.extent | 604983 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Discrete Mathematics,309(6),1749-1759 | |
dc.title | A Note on Randomized Shepp``s Urn Scheme | |
dc.type | article | en |
item.grantfulltext | restricted | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | article | - |
item.fulltext | With Fulltext | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 期刊論文 |
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File | Description | Size | Format | |
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1749-1759.pdf | 590.8 kB | Adobe PDF2 | View/Open |
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