Gambling in contests with regret

Han Feng and David Hobson

Papers from arXiv.org

Abstract: This paper discusses the gambling contest introduced in Seel & Strack (Gambling in contests, Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 375, Mar 2012.) and considers the impact of adding a penalty associated with failure to follow a winning strategy. The Seel & Strack model consists of $n$-agents each of whom privately observes a transient diffusion process and chooses when to stop it. The player with the highest stopped value wins the contest, and each player's objective is to maximise their probability of winning the contest. We give a new derivation of the results of Seel & Strack based on a Lagrangian approach. Moreover, we consider an extension of the problem in which in the case when an agent is penalised when their strategy is suboptimal, in the sense that they do not win the contest, but there existed an alternative strategy which would have resulted in victory.

Date: 2013-01
New Economics Papers: this item is included in nep-cbe, nep-cse, nep-hpe and nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1301.0719 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1301.0719

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().