Gambling in contests with random initial law
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Publication:259573
DOI10.1214/14-AAP1088zbMath1335.60058arXiv1405.7801OpenAlexW2951326919MaRDI QIDQ259573
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
Brownian motionNash equilibriumstopping rulegambling contestrandom initial lawSeel-Strack problemSkorokhod embedding
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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