Name
Abstract | ||
|---|---|---|
A player starts at x in 0, 1 and seeks to reach 1 by time t0. The process {Xt, 0 ≤ t ≤ t0} of the player's positions is a diffusion process or an Ito process whose infinitesimal parameters μ, σ are chosen by the player at each instant of time from a set depending on the current position. The probability of reaching 1 by time t0 is maximized if the player can and does choose the parameters so that σ and μ/σ2 are maximized, at least when these maxima are sufficiently regular. This result implies that bold play is optimal for subfair, continuous-time red-and-black and roulette when there is a limit on playing time. |
Year | DOI | Venue |
|---|---|---|
1989 | 10.1287/moor.14.3.400 | Math. Oper. Res. |
Keywords | DocType | Volume |
finite time,gambling,red-and-black,stochastic control | Journal | 14 |
Issue | ISSN | Citations |
3 | 0364-765X | 2 |
PageRank | References | Authors |
0.71 | 0 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| William D. Sudderth | 1 | 62 | 16.34 |
| Ananda P. Weerasinghe | 2 | 18 | 4.53 |