Gambling in contests modelled with diffusions

DOI10.1007/S10203-014-0156-3zbMath1398.91295OpenAlexW2095741477MaRDI QIDQ2343115

David G. Hobson, Han Feng

Publication date: 4 May 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-014-0156-3

zbMATH Keywords

Nash equilibriumLagrangian methoddiffusionsSkorokhod embedding problemrandomized strategiesSeel-Strack contest

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (5)

Gambling in contests with heterogeneous loss constraints ⋮ Submission costs in risk-taking contests ⋮ Constrained contests with a continuum of battles ⋮ Gambling in contests with random initial law ⋮ Reward Design in Risk-Taking Contests

Cites Work

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• Gambling in contests
• The Skorokhod embedding problem and its offspring
• Tie-breaks and bid-caps in all-pay auctions
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• Contests with Ties
• The War of Attrition in Continuous Time with Complete Information
• Optimal deadlines for agreements

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