An optimal betting strategy for repeated games
- 1 December 1985
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 22 (4) , 787-795
- https://doi.org/10.2307/3213946
Abstract
We consider the problem of finding a betting strategy for an infinite sequence of wagers where the optimality criterion is the minimization of the expected exit time of wealth from an interval. We add the side constraint that the right boundary is hit first with at least some specified probability. The optimal strategy is derived for a diffusion approximation.Keywords
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