The finite-horizon five-expert prediction problem
We give an explicit solution to the five expert prediction with expert advice partial differential equation (PDE) in the finite-time horizon setting. The solution formula establishes that the adversary's rank strategy $(1,0,1,0,0)$ is globally optimal, and the COMB strategy $(1,0,1,0,1)$ is optimal exactly on the set where $x_1=x_2$ and $x_3=x_4$. The formula is derived from the solution of the geometric-stopping problem given in our companion paper through the transform principle of Bayraktar, Ekren and Zhang, which links the two problems by a Laplace transform. Inverting the transform term by term expresses the solution through a series of Gaussian and complementary error function kerne...
| Authors | Jeff Calder, Nadejda Drenska |
|---|---|
| Primary category | math.AP |
| Published | 29 September 2026 |
| Last updated at source | 29 September 2026 |
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