Victor C. Pestien, William D. Sudderth

Research output: Contribution to journalConference articlepeer-review


Reference is made to the discrete-time gambling theory of L. E. Dubins and L. J. Savage which treats many colorful examples such as red-and-black and roulette. These examples can often be reformulated in continuous-time as diffusion control problems. The question of how the gambler can play to minimize the expected time to reach the goal is considered. The discussion covers: discrete-time goal problems; continuous-time goal problems; discrete-time red-and-black; red-and-black with a house limit; casinos; and minimizing the expected time to the goal.

Original languageEnglish (US)
Pages (from-to)1970-1972
Number of pages3
JournalProceedings of the IEEE Conference on Decision and Control
StatePublished - 1987

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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