Optimal Gambling Strategies
Optimal Gambling Strategies are defined as those that maximize the expected utility of the gambler’s fortune after a given number N of trials, at each of which he can bet at most his current wealth. They are discussed in terms of betting on a biassed coin with probability p > 0.5 for heads. We also develop a Bayesian approach to the case of an unknown bias. Dynamic Programming is the principal tool of this analysis.
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