### Abstract

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 language | English (US) |
---|---|

Pages (from-to) | 1970-1972 |

Number of pages | 3 |

Journal | Proceedings of the IEEE Conference on Decision and Control |

State | Published - Dec 1 1987 |

### Fingerprint

### ASJC Scopus subject areas

- Control and Systems Engineering
- Modeling and Simulation
- Control and Optimization

### Cite this

*Proceedings of the IEEE Conference on Decision and Control*, 1970-1972.

**GAMBLING THEORY AND STOCHASTIC CONTROL.** / Pestien, Victor; Sudderth, William D.

Research output: Contribution to journal › Conference article

*Proceedings of the IEEE Conference on Decision and Control*, pp. 1970-1972.

}

TY - JOUR

T1 - GAMBLING THEORY AND STOCHASTIC CONTROL.

AU - Pestien, Victor

AU - Sudderth, William D.

PY - 1987/12/1

Y1 - 1987/12/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=0023593304&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0023593304&partnerID=8YFLogxK

M3 - Conference article

AN - SCOPUS:0023593304

SP - 1970

EP - 1972

JO - Proceedings of the IEEE Conference on Decision and Control

JF - Proceedings of the IEEE Conference on Decision and Control

SN - 0191-2216

ER -