| dc.contributor | 統計系 | |
| dc.creator (作者) | Hung, Ying-Chao | |
| dc.date (日期) | 2009-04 | |
| dc.date.accessioned | 7-Jan-2015 16:57:07 (UTC+8) | - |
| dc.date.available | 7-Jan-2015 16:57:07 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Jan-2015 16:57:07 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/72655 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 604983 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Discrete Mathematics,309(6),1749-1759 | |
| dc.title (題名) | A Note on Randomized Shepp``s Urn Scheme | |
| dc.type (資料類型) | article | en |
