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    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/72655
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/72655


    Title: A Note on Randomized Shepp''s Urn Scheme
    Authors: Hung, Ying-Chao
    Contributors: 統計系
    Date: 2009-04
    Issue Date: 2015-01-07 16:57:07 (UTC+8)
    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.
    Relation: Discrete Mathematics,309(6),1749-1759
    Data Type: article
    Appears in Collections:[統計學系] 期刊論文

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