相关论文: The Kelly Criterion And Utility Function Optimisat…
Classical results of Bennett and Gill (1981) show that with probability 1, $P^A \neq NP^A$ relative to a random oracle $A$, and with probability 1, $P^\pi \neq NP^\pi \cap coNP^\pi$ relative to a random permutation $\pi$. Whether $P^A =…
How many fair coin tosses to choose 1 of $n$ options with uniform probability? Although a probability problem, the solution is essentially number-theoretic, with special roles for Mersenne numbers, Fermat numbers, and the haupt exponent. We…
The game-theoretic notion of the semivalue offers a popular framework for credit attribution and data valuation in machine learning. Semivalues have been proposed for a variety of high-stakes decisions involving data, such as determining…
We want to select the best systems out of a given set of systems (or rank them) with respect to their expected performance. The systems allow random observations only and we assume that the joint observation of the systems has a…
We introduce and study Maker/Breaker-type positional games on random graphs. Our main concern is to determine the threshold probability $p_{F}$ for the existence of Maker's strategy to claim a member of $F$ in the unbiased game played on…
If uncertainty is modelled by a probability measure, decisions are typically made by choosing the option with the highest expected utility. If an imprecise probability model is used instead, this decision rule can be generalised in several…
A real-valued function $\varphi$ that is defined over all Borel sets of a topological space is \emph{regular} if for every Borel set $W$, $\varphi(W)$ is the supremum of $\varphi(C)$, over all closed sets $C$ that are contained in $W$, and…
Risk and uncertainty will always be a matter of experience, luck, skills, and modelling. Leverage is another concept, which is critical for the investor decisions and results. Adaptive skills and quantitative probabilistic methods need to…
Resource allocation problems across multiple contests are ubiquitous in adversarial settings, from military operations to market competition. While Colonel Blotto and General Lotto games have provided valuable theoretical foundations for…
Suppose $N$ independent Bernoulli trials are observed sequentially at random times of a mixed binomial process. The task is to maximise, by using a nonanticipating stopping strategy, the probability of stopping at the last success. We focus…
Experimentation involves risk. The investigator expends time and money in the pursuit of data that supports a hypothesis. In the end, the investigator may find that all of these costs were for naught and the data fail to reject the null.…
Consider a discrete-time optimal selection problem where one observes a sequence of independent Bernoulli trials and receives a nonnegative reward upon stopping on a success. The aim is to find a single-choice strategy that maximises the…
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous…
We define a notion of the criticality of a player for simple monotone games based on cooperation with other players, either to form a winning coalition or to break a winning one, with an essential role for all the players involved. We…
The theory of combinatorial game (like board games) and the theory of social games (where one looks for Nash equilibria) are normally considered as two separate theories. Here we shall see what comes out of combining the ideas. The central…
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…
We provide an in-depth study of Nash equilibria in multi-objective normal form games (MONFGs), i.e., normal form games with vectorial payoffs. Taking a utility-based approach, we assume that each player's utility can be modelled with a…
The use of von Neumann -- Morgenstern utility is examined in the context of multiple choices between lotteries. Different conclusions are reached if the choices are simultaneous or sequential. It is demonstrated that utility cannot be…
We shall show in this paper that there are experiments which are Bernoulli trials with success probability p > 0.5, and which have the curious feature that it is possible to correctly predict the outcome with probability > p.
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…