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題名 MAXIMIZING THE VARIANCE OF THE TIME TO RUIN IN A MULTIPLAYER GAME WITH SELECTION
作者 姚怡慶
GRIGORESCU, ILIE;YAO, YI-CHING
貢獻者 統計學系
關鍵詞 dynamic programming; Gambler`s ruin; martingale; stochastic control
日期 2016-06
上傳時間 8-一月-2018 11:21:45 (UTC+8)
摘要 We consider a game with K = 2 players, each having an integer-valued fortune. On each round, a pair (i, j) among the players with nonzero fortunes is chosen to play and the winner is decided by flipping a fair coin (independently of the process up to that time). The winner then receives a unit from the loser. All other players`fortunes remain the same. (Once a player`s fortune reaches 0, this player is out of the game.) The game continues until only one player wins all. The choices of pairs represent the control present in the problem. While it is known that the expected time to ruin (i.e. expected duration of the game) is independent of the choices of pairs (i, j) (the strategies), our objective is to find a strategy which maximizes the variance of the time to ruin. We show that the maximum variance is uniquely attained by the (optimal) strategy, which always selects a pair of players who have currently the largest fortunes. An explicit formula for the maximum value function is derived. By constructing a simple martingale, we also provide a short proof of a result of Ross (2009) that the expected time to ruin is independent of the strategies. A brief discussion of the (open) problem of minimizing the variance of the time to ruin is given.
關聯 Advances in Applied Probability. Jun2016, Vol. 48 Issue 2, p610-630. 21p.
資料類型 article
DOI http://dx.doi.org/10.1017/apr.2016.17
dc.contributor 統計學系zh_TW
dc.creator (作者) 姚怡慶zh_TW
dc.creator (作者) GRIGORESCU, ILIE;YAO, YI-CHINGen_US
dc.date (日期) 2016-06
dc.date.accessioned 8-一月-2018 11:21:45 (UTC+8)-
dc.date.available 8-一月-2018 11:21:45 (UTC+8)-
dc.date.issued (上傳時間) 8-一月-2018 11:21:45 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/115511-
dc.description.abstract (摘要) We consider a game with K = 2 players, each having an integer-valued fortune. On each round, a pair (i, j) among the players with nonzero fortunes is chosen to play and the winner is decided by flipping a fair coin (independently of the process up to that time). The winner then receives a unit from the loser. All other players`fortunes remain the same. (Once a player`s fortune reaches 0, this player is out of the game.) The game continues until only one player wins all. The choices of pairs represent the control present in the problem. While it is known that the expected time to ruin (i.e. expected duration of the game) is independent of the choices of pairs (i, j) (the strategies), our objective is to find a strategy which maximizes the variance of the time to ruin. We show that the maximum variance is uniquely attained by the (optimal) strategy, which always selects a pair of players who have currently the largest fortunes. An explicit formula for the maximum value function is derived. By constructing a simple martingale, we also provide a short proof of a result of Ross (2009) that the expected time to ruin is independent of the strategies. A brief discussion of the (open) problem of minimizing the variance of the time to ruin is given.en_US
dc.format.extent 258798 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Advances in Applied Probability. Jun2016, Vol. 48 Issue 2, p610-630. 21p.en_US
dc.subject (關鍵詞) dynamic programming; Gambler`s ruin; martingale; stochastic controlen_US
dc.title (題名) MAXIMIZING THE VARIANCE OF THE TIME TO RUIN IN A MULTIPLAYER GAME WITH SELECTIONen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1017/apr.2016.17
dc.doi.uri (DOI) http://dx.doi.org/10.1017/apr.2016.17