Maximizing the discounted survival probability in Vardi's casino

DOI10.1080/17442508.2011.552980zbMath1232.91072OpenAlexW1969589670MaRDI QIDQ3108384

Ilie Grigorescu, Lawrence A. Shepp, Robert W. Chen

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.552980

zbMATH Keywords

optimal strategybold playVardi casino

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Probabilistic games; gambling (91A60)

Cites Work

• Strong Optimality of Bold Play for Discounted Dubins-Savage Gambling Problems with Time-Dependent Parameters
• Subfair primitive casino with a discount factor
• Subfair ?Red-and-Black? in the presence of inflation
• On discounted subfair primitive casino
• A model for stock price fluctuations based on information
• A bold strategy is not always optimal in the presence of inflation
• On Optimality of Bold Play for Primitive Casinos in the Presence of Inflation
• Explicit Optimal Strategy for the Vardi Casino with Limited Playing Time
• Two-person red-and-black games with bet-dependent win probability functions
• Optimal Strategy for the Vardi Casino with Interest Payments
• On Nonoptimality of Bold Play for Subfair Red-And-Black with a Rational-Valued House Limit
• Unnamed Item

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