Optimizing stakes in simultaneous bets

MaRDI QIDQ6334930arXivFDO

Authors Robbert Fokkink, Ludolf E. Meester, Christos Pelekis

Publication date 17 February 2020

Published in arXiv

Mathematics Subject Classification ID

Extremal set theory (05D05) Sums of independent random variables; random walks (60G50)

arXiv classification

math.PR

Abstract: We want to find the convex combination $S$ of iid Bernoulli random variables that maximizes $extbfP(Sgeqt)$ for a given threshold~$t$. Cs'oka conjectured that such an $S$ is an average if $tgeqp$, where $p$ is the success probability of the Bernoulli random variables. We prove this conjecture for a range of $p$ and $t$.

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