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A classical decision theoretic perspective on worst-case analysis

Moshe Sniedovich (2011)

Applications of Mathematics

We examine worst-case analysis from the standpoint of classical Decision Theory. We elucidate how this analysis is expressed in the framework of Wald's famous Maximin paradigm for decision-making under strict uncertainty. We illustrate the subtlety required in modeling this paradigm by showing that information-gap's robustness model is in fact a Maximin model in disguise.

A game interpretation of the Neumann problem for fully nonlinear parabolic and elliptic equations

Jean-Paul Daniel (2013)

ESAIM: Control, Optimisation and Calculus of Variations

We provide a deterministic-control-based interpretation for a broad class of fully nonlinear parabolic and elliptic PDEs with continuous Neumann boundary conditions in a smooth domain. We construct families of two-person games depending on a small parameter ε which extend those proposed by Kohn and Serfaty [21]. These new games treat a Neumann boundary condition by introducing some specific rules near the boundary. We show that the value function converges, in the viscosity sense, to the solution...

A note on 'Big Match'

Jean-Michel Coulomb (2010)

ESAIM: Probability and Statistics

We present a very simple proof of the existence of the value for 'Big Match' first shown by Blackwell and Ferguson (1968).

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