SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 342-368, January 2021.
The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a sequence of simple Bernoulli bets with an edge, that is, when the expected return on each bet is positive. The objective of this work is to consider more general models of returns and the continuous time, or high-frequency, limits of those models. The results include an explicit expression for the optimal strategy in several models with continuous time compounding.

中文翻译：

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凯利准则：从简单的随机游走到 Lévy 过程

SIAM Journal on Financial Mathematics，第 12 卷，第 1 期，第 342-368 页，2021
年1 月。最初的凯利标准提供了一种策略，以在具有优势的简单伯努利投注序列中最大化长期赢利增长，即当每次投注的预期回报为正时。这项工作的目的是考虑更一般的回报模型以及这些模型的连续时间或高频限制。结果包括在具有连续时间复合的几个模型中最佳策略的显式表达式。