ON THE MABINOGION URN MODEL

被引：1
|
作者：
Stenlund, David [1 ]
机构：
[1] Abo Akad Univ, Fac Sci & Engn, Math & Stat, FIN-20500 Turku, Finland
来源：
ADVANCES IN APPLIED PROBABILITY | 2018年 / 50卷 / 02期
关键词：
Mabinogion sheep problem; Markov chain; difference equation; extinction time; random walk; hypergeometric function; binomial identity; Doob's h-transform; SHEEP PROBLEM; WILLIAMS;
D O I：
10.1017/apr.2018.16
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we discuss the Mabinogion urn model introduced by Williams (1991). Therein he describes an optimal control problem where the objective is to maximize the expected final number of objects of one kind in the Mabinogion urn model. Our main contribution is formulae for the expected time to absorption and its asymptotic behaviour in the optimally controlled process. We also present results for the noncontrolled Mabinogion urn process and briefly analyze other strategies that become superior if a certain discount factor is included.
引用
收藏
页码：327 / 346
页数：20
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