文章基本信息

标题：Solvency Games
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作者：Noam Berger ; Nevin Kapur ; Leonard Schulman 等
期刊名称：LIPIcs : Leibniz International Proceedings in Informatics
电子版ISSN：1868-8969
出版年度：2008
卷号：2
页码：61-72
DOI：10.4230/LIPIcs.FSTTCS.2008.1741
出版社：Schloss Dagstuhl -- Leibniz-Zentrum fuer Informatik
摘要：We study the decision theory of a maximally risk-averse investor --- one whose objective, in the face of stochastic uncertainties, is to minimize the probability of ever going broke. With a view to developing the mathematical basics of such a theory, we start with a very simple model and obtain the following results: a characterization of best play by investors; an explanation of why poor and rich players may have different best strategies; an explanation of why expectation-maximization is not necessarily the best strategy even for rich players. For computation of optimal play, we show how to apply the Value Iteration method, and prove a bound on its convergence rate.
关键词：Decision making under uncertainity; multi-arm bandit problems; game theory