Open Access
Translator Disclaimer
April, 1972 On the Dubins and Savage Characterization of Optimal Strategies
William D. Sudderth
Ann. Math. Statist. 43(2): 498-507 (April, 1972). DOI: 10.1214/aoms/1177692630


An elegant characterization of optimal strategies for gambling problems was given by Dubins and Savage in the finitely additive setting of their book How to Gamble If You Must. An exposition of their ideas is given here in a measurable, countably additive framework. With the additional measurability assumptions, it becomes possible to treat a larger class of payoff functions. Also, necessary and sufficient conditions are given for a strategy to be $\epsilon$-optimal, a problem not considered by Dubins and Savage.


Download Citation

William D. Sudderth. "On the Dubins and Savage Characterization of Optimal Strategies." Ann. Math. Statist. 43 (2) 498 - 507, April, 1972.


Published: April, 1972
First available in Project Euclid: 27 April 2007

zbMATH: 0239.62052
MathSciNet: MR300333
Digital Object Identifier: 10.1214/aoms/1177692630

Rights: Copyright © 1972 Institute of Mathematical Statistics


Vol.43 • No. 2 • April, 1972
Back to Top