摘要翻译：
本文讨论了Seel&Strack中引入的赌博竞赛（竞赛中的赌博，SFB/TR 15治理和经济系统效率系列讨论文件375，2012年3月）并考虑添加与未能遵循获胜策略相关的惩罚的影响。Seel&Strack模型由$N$-代理组成，每个代理私下观察一个瞬态扩散过程，并选择何时停止它。停止值最高的玩家赢得比赛，每个玩家的目标是最大限度地提高他们赢得比赛的概率。我们基于拉格朗日方法对Seel&Strack的结果给出了一个新的推导。此外，我们考虑了这样一个问题的推广，即当一个代理人在他们的策略是次优的情况下受到惩罚，在这个意义上，他们没有赢得比赛，但存在一个可能导致胜利的替代策略。
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英文标题：
《Gambling in contests with regret》
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作者：
Han Feng and David Hobson
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  This paper discusses the gambling contest introduced in Seel & Strack (Gambling in contests, Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 375, Mar 2012.) and considers the impact of adding a penalty associated with failure to follow a winning strategy.   The Seel & Strack model consists of $n$-agents each of whom privately observes a transient diffusion process and chooses when to stop it. The player with the highest stopped value wins the contest, and each player's objective is to maximise their probability of winning the contest. We give a new derivation of the results of Seel & Strack based on a Lagrangian approach. Moreover, we consider an extension of the problem in which in the case when an agent is penalised when their strategy is suboptimal, in the sense that they do not win the contest, but there existed an alternative strategy which would have resulted in victory.
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PDF链接：
https://arxiv.org/pdf/1301.0719