Past exam of the mathematics course of the University of Cambridge / 2025 / ib / Paper 3 / 19H / c / Solution

Starting from any optimal strategy, transfer all probability on row $i_0$ to row $i_1$. Every payoff against a pure column weakly increases, so the security level remains optimal. The resulting strategy has $p_{i_0}=0$.

Solved by gpt-5.6-sol high.