Reward Design in Risk-Taking Contests

DOI10.1137/21M1397386zbMath1483.91051arXiv2102.03417OpenAlexW4210875413MaRDI QIDQ5029935

Marcel Nutz, Yuchong Zhang

Publication date: 15 February 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.03417

zbMATH Keywords

optimal stoppingStackelberg gamestochastic contest

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Stochastic games, stochastic differential games (91A15) Games of timing (91A55)

Related Items (2)

Submission costs in risk-taking contests ⋮ An exit contract optimization problem

Cites Work

• Gambling in contests with random initial law
• Gambling in contests
• The Skorokhod embedding problem and its offspring
• Gambling in contests with heterogeneous loss constraints
• Majorization and the Lorenz order with applications in applied mathematics and economics
• Large tournament games
• Gambling in contests modelled with diffusions
• Continuous Time Contests with Private Information
• Terminal Ranking Games
• A Mean Field Competition
• Embedding submartingales in wiener processes with drift, with applications to sequential analysis
• GAMBLING IN CONTESTS WITH REGRET
• Inequalities: theory of majorization and its applications

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