On Directed Information and Gambling

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dc.creatorPermuter, Haim H.
dc.creatorKim, Young-Han
dc.creatorWeissman, Tsachy
dc.date2008-02-11
dc.date.accessioned2026-07-07T09:19:52Z
dc.date.available2026-07-07T09:19:52Z
dc.descriptionWe study the problem of gambling in horse races with causal side information and show that Massey's directed information characterizes the increment in the maximum achievable capital growth rate due to the availability of side information. This result gives a natural interpretation of directed information $I(Y^n \to X^n)$ as the amount of information that $Y^n$ \emph{causally} provides about $X^n$. Extensions to stock market portfolio strategies and data compression with causal side information are also discussed.
dc.identifierhttps://arxiv.org/abs/0802.1383
dc.identifierhttp://arxiv.org/abs/0802.1383
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/154550
dc.subjectInformation Theory
dc.titleOn Directed Information and Gambling
dc.typetext

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