On the asymptotic optimality of the comb strategy for prediction with expert advice (cancelled)

Seminar series

Stochastic Analysis & Mathematical Finance Seminars

Date

Mon, 16 Mar 2020

Time

15:45 - 16:45

Location

Virtual

Speaker

ERHAN BAYRAKTAR

Organisation

University of Michigan

For the problem of prediction with expert advice in the adversarial setting with geometric stopping, we compute the exact leading order expansion for the long time behavior of the value function using techniques from stochastic analysis and PDEs. Then, we use this expansion to prove that as conjectured in Gravin, Peres and Sivan the comb strategies are indeed asymptotically optimal for the adversary in the case of 4 experts.