Related papers: The most exciting game
In this paper we revisit an open problem posed by Aldous on the max-entropy win-probability martingale: given two players of equal strength, such that the win-probability is a martingale diffusion, which of these processes has maximum…
We consider a competition between $d+1$ players, and aim to identify the "most exciting game'' of this kind. This is translated, mathematically, into a stochastic optimization problem over martingales that live on the $d$-dimensional…
We study the existing algorithms that solve the multidimensional martingale optimal transport. Then we provide a new algorithm based on entropic regularization and Newton's method. Then we provide theoretical convergence rate results and we…
Within a contest there is some probability M_i(t) that contestant i will be the winner, given information available at time t, and M_i(t) must be a martingale in t. Assume continuous paths, to capture the idea that relevant information is…
In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…
We propose a discrete time formulation of the semi-martingale optimal transport problem based on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by [17],…
Entropy maximization and free energy minimization are general physical principles for modeling the dynamics of various physical systems. Notable examples include modeling decision-making within the brain using the free-energy principle,…
This paper explores multi-entry strategies for betting pools related to single-elimination tournaments. In such betting pools, participants select winners of games, and their respective score is a weighted sum of the number of correct…
This short note explores the maximum-entropy walk on the unit interval that is a median-martingale. That is, the median of its next state is equal to its current state. The stationary distribution of this walk is the arcsine distribution,…
This note outlines a mean-field approach to dynamic optimal transport problems based on the recently proposed McKean-Pontryagin maximum principle. Key aspects of the proposed methodology include i) avoidance of sampling over stochastic…
We consider a deterministic game with alternate moves and complete information, of which the issue is always the victory of one of the two opponents. We assume that this game is the realization of a random model enjoying some independence…
We consider random walks, say $W_n=(M_0, M_1,\dots, M_n)$, of length $n$ starting at 0 and based on the martingale sequence $M_k$ with differences $X_m=M_m-M_{m-1}$. Assuming that the differences are bounded, $|X_m|\leq 1$, we solve the…
We study a robust optimal stopping problem with respect to a set $\cP$ of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse…
We consider an extension of the Monge-Kantorovitch optimal transportation problem. The mass is transported along a continuous semimartingale, and the cost of transportation depends on the drift and the diffusion coefficients of the…
We propose a discrete time formulation of the semi martingale optimal transport problembased on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by Guo et…
We consider an autonomous navigation problem, whereby a traveler aims at traversing an environment in which an adversary tries to set an ambush. A two players zero sum game is introduced. Players' strategies are computed as random path…
Maximum entropy modeling is a flexible and popular framework for formulating statistical models given partial knowledge. In this paper, rather than the traditional method of optimizing over the continuous density directly, we learn a smooth…
We consider a team game reward, and we derive a stochastic Pontryagin's maximum principle for distributed stochastic differential systems with decentralized noisy information structures. Our methodology utilizes the semi martingale…
In this paper, we consider zero-sum repeated games in which the maximizer is restricted to strategies requiring no more than a limited amount of randomness. Particularly, we analyze the maxmin payoff of the maximizer in two models: the…
In this paper, martingales related to simple random walks and their maximum process are investigated. First, a sufficient condition under which a function with three arguments, time, the random walk, and its maximum process becomes a…