Jarzynski-type equalities in gambling: role of information in capital growth

DOI10.1007/S10955-015-1348-0MaRDI QIDQ895500zbMATH OpenOpenAlexFDO

Authors Yuji Hirono, Yoshimasa Hidaka

Publication date 3 December 2015

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.06216

zbMATH Keywords

informationdirected informationJarzynski equalitynonequilibriumgambling

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Dynamic lattice systems (kinetic Ising, etc.) and systems on graphs in time-dependent statistical mechanics (82C20) Economic growth models (91B62) Probabilistic games; gambling (91A60)

Abstract: We study the capital growth in gambling with (and without) side information and memory effects. We derive several equalities for gambling, which are of similar form to the Jarzynski equality and its extension to systems with feedback controls. Those relations provide us with new measures to quantify the effects of information on the statistics of capital growth in gambling. We discuss the implications of the equalities and show that they reproduce the known upper bounds of average capital growth rates.

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Cited in

(5)

• Adaptive strategies in Kelly’s horse races model
• Informations in models of evolutionary dynamics
• Information thermodynamics of financial markets: the Glosten–Milgrom model
• Analogy between gambling and measurement-based work extraction
• Some Aspects of Information Theory in Gambling and Economics

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