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Abstract
The Vardi casino with parameter 0 <c< 1 consists of infinitely many tables indexed by their odds, each of which returns the same (negative) expected winnings -cper dollar. A gambler seeks to maximize the probability of reaching a fixed fortune by gambling repeatedly with suitably chosen stakes and tables (odds). The optimal strategy is derived explicitly subject to the constraint that the gambler is allowed to play only a given finite number of times. Some properties of the optimal strategy are also discussed.
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Abstract
A gambler starts with fortune f < 1 and plays in a Vardi casino with infinitely many tables indexed by their odds, r ≥ 0. In addition, all tables return the same expected winnings per dollar, c < 0, and a discount factor is applied after each round. We determine the optimal probability of reaching fortune 1, as well as an optimal strategy that is different from bold play for fortunes larger than a critical value depending exclusively on c and 1 + a, the discount factor. The general result is computed explicitly for some relevant special cases. The question of whether bold play is an optimal strategy is discussed for various choices of the parameters.
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On Optimality of Bold Play for Discounted Dubins-Savage Gambling Problems with Limited Playing Times. J Appl Probab 2007. [DOI: 10.1017/s0021900200002813] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/06/2022]
Abstract
In the classic Dubins-Savage subfair primitive casino gambling problem, the gambler can stake any amount in his possession, winning (1 - r)/r times the stake with probability w and losing the stake with probability 1 - w, 0 ≤ w ≤ r ≤ 1. The gambler seeks to maximize the probability of reaching a fixed fortune by gambling repeatedly with suitably chosen stakes. This problem has been extended in several directions to account for limited playing time or future discounting. We propose a unifying framework that covers these extensions, and prove that bold play is optimal provided that w ≤ ½ ≤ r. We also show that this condition is in fact necessary for bold play to be optimal subject to the constraint of limited playing time.
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