Optimal stopping strategies of behavioral gamblers in finite time horizons


The optimal casino gambling of infinite horizon has been well studied by He et al (2017). In this paper we present systematic solution to finite-time betting problem. Skorokhod embedding in finite horizon arises due to... [ view full abstract ]


  1. Sang Hu (The Chinese University of Hong Kong, Shenzhen)
  2. Jan Obloj (University of Oxford)
  3. Xunyu Zhou (Columbia University)

Topic Area

Optimal Stopping


TU-A-SY » Optimal Stopping (11:30 - Tuesday, 17th July, Synge)

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