Generalized gambler's ruin problem: explicit formulas via Siegmund duality

DOI10.1007/S11009-016-9507-6zbMATH Open1370.60120arXiv1604.05990OpenAlexW2340999293WikidataQ59608332 ScholiaQ59608332MaRDI QIDQ2397967FDOQ2397967

Paweł Lorek

Publication date: 14 August 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Abstract: We give explicit formulas for ruin probabilities in a multidimensional Generalized Gambler's ruin problem. The generalization is best interpreted as a game of one player against $d$ other players, allowing arbitrary winning and losing probabilities (including ties) depending on the current fortune with particular player. It includes many previous other generalizations as special cases. Instead of usually utilized first-step-like analysis we involve dualities between Markov chains. We give general procedure for solving ruin-like problems utilizing Siegmund duality in Markov chains for partially ordered state spaces studied recently in context of M"obius monotonicity.

Full work available at URL: https://arxiv.org/abs/1604.05990

zbMATH Keywords

Markov chainspartial ordering[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=M%EF%BF%BD%EF%BF%BDbius+monotonicity&go=Go M��bius monotonicity]absorption probabilitySiegmund dualitygeneralized gambler's ruin problem

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

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Cited In (12)

• Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
• Deciding when to quit the gambler's ruin game with unknown probabilities
• The exponential-dual matrix method: Applications to Markov chain analysis
• Gambler's ruin probability -- a general formula
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• A game based on successive events
• Susceptible-exposed-infectious model using Markov chains

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