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On a simple sequential decision problem

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  • M. Scarsini

Abstract

We consider a simple sequential problem that generalizes the gamble with a fair coin. A sequence [Xn] ot {0,1} r.v.'s is observed, and at each step the gambler can bet on either 0 or 1. The sequence (Xn) is assumed exchangeable. Except for the case of i.i.d. r.v.'s with even probability (the fair coin), there exists a strategy such that the cumulated expected gain diverges to +∞.

Suggested Citation

  • M. Scarsini, 1988. "On a simple sequential decision problem," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 42(1), pages 29-35, March.
    • Handle: RePEc:bla:stanee:v:42:y:1988:i:1:p:29-35
    DOI: 10.1111/j.1467-9574.1988.tb01518.x
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    Cited by:

    1. Bassan, Bruno & Scarsini, Marco, 1995. "On the value of information in multi-agent decision theory," Journal of Mathematical Economics, Elsevier, vol. 24(6), pages 557-576.

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