Gambling in contests with random initial law

DOI10.1214/14-AAP1088zbMath1335.60058arXiv1405.7801OpenAlexW2951326919MaRDI QIDQ259573

Han Feng, David G. Hobson

Publication date: 11 March 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.7801

zbMATH Keywords

Brownian motionNash equilibriumstopping rulegambling contestrandom initial lawSeel-Strack problemSkorokhod embedding

Mathematics Subject Classification ID

2-person games (91A05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

Related Items (6)

Continuous Time Contests with Private Information ⋮ Gambling in contests with heterogeneous loss constraints ⋮ A Mean Field Competition ⋮ Submission costs in risk-taking contests ⋮ On Skorokhod embeddings and Poisson equations ⋮ Reward Design in Risk-Taking Contests

Cites Work

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• Gambling in contests
• \(\ell\)-selection principles for sequences of functions
• The Skorokhod embedding problem and its offspring
• The all-pay auction with complete information
• The value of information in asymmetric all-pay auctions
• Gambling in contests modelled with diffusions
• The stopping distributions of a Markov process
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• The War of Attrition in Continuous Time with Complete Information

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