On the Mabinogion urn model

A1 Journal article (refereed)


Internal Authors/Editors


Publication Details

List of Authors: David Stenlund
Publisher: Cambridge University Press
Publication year: 2018
Journal: Advances in Applied Probability
Volume number: 50
Issue number: 2
Start page: 327
End page: 346
eISSN: 1475-6064


Abstract

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.


Keywords

Binomial identities, Hypergeometric functions, Markov chains, Theory of optimal control, Urn models

Last updated on 2020-28-05 at 01:44