The gambler and the stopper

Ashok P. Maitra · William D. Sudderth

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Stochastic processes and financial applications Probability and Statistical Research Game Theory and Applications

Abstract

A gambler (or stochastic controller) selects the distribution for the stochastic process x,Xχ,X2,... from those available in a given gambling house.An optimal stopper selects a stop rule t and pays the gambler the expected value of u(Xt), where u is a bounded, real-valued function.Under certain measurability assumptions, this game has a value and there is a transfinite algorithm for calculating it.

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1997Discrete Gambling and Stochastic Games.1993Borel Stochastic Games with Lim Sup Payoff 1969On the Existence of Good Stationary Strategies

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2010Ashok Prasad Maitra (1938–2008)

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