Related papers: When to Quit Gambling, if You Must!
In this paper we provide formulas for the expectation of a conditional game duration in a finite state-space one-dimensional gambler's ruin problem with arbitrary winning $p(n)$ and losing $q(n)$ probabilities (i.e., they depend on the…
The paper addresses the problem of computing maximal conditional expected accumulated rewards until reaching a target state (briefly called maximal conditional expectations) in finite-state Markov decision processes where the condition is…
This paper studies the risk-adjusted optimal timing to liquidate an option at the prevailing market price. In addition to maximizing the expected discounted return from option sale, we incorporate a path-dependent risk penalty based on…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
How do large-scale participants in parimutuel wagering events affect the house and ordinary bettors? A standard narrative suggests that they may temporarily benefit the former at the expense of the latter. To approach this problem, we begin…
This study presents a rigorous mathematical approach to the optimization of round and betting policies in Blackjack, using Markov Decision Processes (MDP) and Expected Utility Theory. The analysis considers a direct confrontation between a…
This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value function and the associated optimal stopping strategy are…
We consider games of chance played by someone with external capital that cannot be applied to the game and determine how this affects risk-adjusted optimal betting. Specifically, we focus on Kelly optimization as a metric, optimizing the…
This work contains the mathematical exploration of a few prototypical games in which central concepts from statistics and probability theory naturally emerge. The first two kinds of games are termed Fisher and Bayesian games, which are…
We study the problem of minimising regret in two-armed bandit problems with Gaussian rewards. Our objective is to use this simple setting to illustrate that strategies based on an exploration phase (up to a stopping time) followed by…
We study the relationship between performance and practice by analyzing the activity of many players of a casual online game. We find significant heterogeneity in the improvement of player performance, given by score, and address this by…
This paper investigates the combination of model predictive control (MPC) concepts and posterior sampling techniques and proposes a simple constraint tightening technique to introduce cautiousness during explorative learning episodes. The…
When modeling robot interactions as Nash equilibrium problems, it is desirable to place coupled constraints which restrict these interactions to be safe and acceptable (for instance, to avoid collisions). Such games are continuous with…
This note considers a variation of the full-information secretary problem where the random variables to be observed are independent and identically distributed. Consider $X_1,\dots,X_n$ to be an independent sequence of random variables, let…
The Labouchere gambling system is hypothesized to increase the probability of winning a predetermined arbitrary profit in a gambling system such as a coin flip or a roulette game in which both payouts and odds are 1:1. However, use of the…
Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…
This paper studies dynamic mechanism design in a quasilinear Markovian environment and analyzes a direct mechanism model of a principal-agent framework in which the agent is allowed to exit at any period. We consider that the agent's…
We study the following game. Three players start with initial capitals of $s_{1},s_{2},s_{3}$ dollars; in each round player $P_{m}$ is selected with probability $\frac{1}{3}$; then \emph{he} selects player $P_{n}$ and they play a game in…
For the iterated Prisoner's Dilemma, there exist Markov strategies which solve the problem when we restrict attention to the long term average payoff. When used by both players these assure the cooperative payoff for each of them. Neither…
We study games with finitely many participants, each having finitely many choices. We consider the following categories of participants: (I) populations: sets of nonatomic agents, (II) atomic splittable players, (III) atomic non splittable…