Maximizing the variance of the time to ruin in a multiplayer game with selection

DOI10.1017/APR.2016.17zbMATH Open1347.91078OpenAlexW2409032505MaRDI QIDQ5740705

Ilie Grigorescu, Yi-Ching Yao

Publication date: 27 July 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://projecteuclid.org/euclid.aap/1465490765

zbMATH Keywords

dynamic programmingstochastic controlmartingalegambler's ruinmultiplayer game

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

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