A Note on the Characterization of Optimal Return Functions and Optimal Strategies for Gambling Problems
van Dawen, R.
Ann. Statist., Tome 13 (1985) no. 1, p. 832-835 / Harvested from Project Euclid
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We consider finite state gambling problems with the Dubins and Savage payoff and with the $\lim\inf$ payoff. For these models we show that the optimal return function with respect to all stationary strategies can be characterized similarly to the optimal return function. This enables us then to characterize those stationary strategies which are optimal within the set of all stationary strategies in the same way as it was done for optimal strategies by Dubins and Savage.
Publié le : 1985-06-14
Classification:  Gambling,  conserving and equalizing strategy,  93E05 
@article{1176349563,
     author = {van Dawen, R.},
     title = {A Note on the Characterization of Optimal Return Functions and Optimal Strategies for Gambling Problems},
     journal = {Ann. Statist.},
     volume = {13},
     number = {1},
     year = {1985},
     pages = { 832-835},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349563}
}

van Dawen, R. A Note on the Characterization of Optimal Return Functions and Optimal Strategies for Gambling Problems. Ann. Statist., Tome 13 (1985) no. 1, pp.  832-835. http://gdmltest.u-ga.fr/item/1176349563/