The de Finetti Problem with Uncertain Competition

DOI10.1137/22m1524849zbMath1527.91031OpenAlexW4387674259MaRDI QIDQ6057793

Alessandro Milazzo, Marcus Olofsson, Erik Ekström

Publication date: 26 October 2023

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/22m1524849

zbMATH Keywords

controller-and-stopper gameuncertain competitionde Finetti problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Games with incomplete information, Bayesian games (91A27)

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