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Matching-integer game paying the square of the number

Question

A banker and you each secretly pick a positive integer, each using any probability distribution you like on the positive integers. If you pick the same integer nn, you receive n2n^2 dollars; otherwise nothing. Neither sees the other's distribution, and both play optimally (you maximise, the banker minimises). Your expected payout has the form aπb\dfrac{a}{\pi^b} with integers a,ba,b. Find abab.

Short answer

1212. The banker should make your payoff the same for every nn, i.e. choose nn with probability ∝1/n2\propto 1/n^2; normalising with ∑1/n2=π2/6\sum 1/n^2=\pi^2/6 gives 6π2n2\tfrac{6}{\pi^2 n^2}. Then any guess nn earns n2⋅6π2n2=6π2n^2\cdot\tfrac{6}{\pi^2n^2}=\tfrac6{\pi^2}, so a=6a=6, b=2b=2.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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