The asymmetric \(n\)-player gambler's ruin problem with equal initial fortunes (Q705246)

The authors consider the extension of the classical two player gambler's ruin problem [\textit{S. Karlin} and \textit{H. M. Taylor}, ``A first course in stochastic processes'' (1975; Zbl 0315.60016)] to \(n\) players with equal initial fortunes of \(n+r\) dollars with \(r\geq 0\) and \(n\geq \max(r,2)\). In each round a player \(i\) can be chosen to be the winner with probability \(p_i, i=1,\dots,n\). So, player \(i\) loses one dollar for the round with probability \(1-p_i, i=1,\dots,n\). Play continues until the first time \(T\) when one or more of the players are ruined. When \(p_1=\dots=p_n=1/n\) the game is said to be symmetric. In the article the asymmetric case is analyzed. The authors derive the explicit formulas for the expected ruin time \(E(T)\) and the ruin probablities of the players and their asymptotics.