Gambling in contests modelled with diffusions

DOI10.1007/S10203-014-0156-3MaRDI QIDQ2343115zbMATH OpenOpenAlexFDO

Authors Han Feng, David Hobson

Publication date 4 May 2015

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-014-0156-3

zbMATH Keywords

diffusionsLagrangian methodNash equilibriumrandomized strategiesSeel-Strack contestSkorokhod embedding problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

• Gambling in contests with random initial law
• Gambling in contests with regret
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Cites work

• Contests with Ties
• Gambling in contests
• scientific article; zbMATH DE number 3644254 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 3236476 (Why is no real title available?)
• Optimal deadlines for agreements
• The Skorokhod embedding problem and its offspring
• The Skorokhod embedding problem and model-independent bounds for option prices
• The War of Attrition in Continuous Time with Complete Information
• Tie-breaks and bid-caps in all-pay auctions

Cited in

(14)

• Gambling in contests with heterogeneous loss constraints
• Gambling in contests with random initial law
• SKOROKHOD EMBEDDINGS IN BOUNDED TIME
• Continuous time contests with private information
• Betting and Equilibrium
• Fluctuations of martingales and winning probabilities of game contestants
• Gambling in contests
• Reward design in risk-taking contests
• Gambling in contests with regret
• Submission costs in risk-taking contests
• Constrained contests with a continuum of battles
• Portfolio selection in contests
• A Dynkin game with independent processes and private information
• Empirical evaluation of four models of buying and selling prices of gambles

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