报告题目：Optimal Asymptotic Strategies for Stationary Gambling Systems
报告人：Dr. Shan-Yuan Ho
主持人：吕钊副教授
时间：2015年10月22日10：30——11：30
地点：信息楼419
报告摘要：
Frequently, repeated decisions must be made on tasks with payment from
current resources, where the outcomes of each decision has a payoff in terms
of resources that can be applied to the next decision cycle. Usually, the
goal is to optimize the resources in the long run. In this talk we will
model the sequence of resource outcomes as a stationary stochastic process
(similar to a gambler's wealth in a fair game) using Martingales, which are
integer time stochastic processes useful in describing various processes (e.
g. random walks are a special case). We will discuss two related specific
problems, namely horse racing and portfolio theory, and provide a simple and
concise proof for their optimal strategies in the limit.
报告人简介：
Frequently, repeated decisions must be made on tasks with payment from
current resources, where the outcomes of each decision has a payoff in terms
of resources that can be applied to the next decision cycle. Usually, the
goal is to optimize the resources in the long run. In this talk we will
model the sequence of resource outcomes as a stationary stochastic process
(similar to a gambler's wealth in a fair game) using Martingales, which are
integer time stochastic processes useful in describing various processes (e.
g. random walks are a special case). We will discuss two related specific
problems, namely horse racing and portfolio theory, and provide a simple and
concise proof for their optimal strategies in the limit.