The compulsive gambler process

DOI10.1214/EJP.V20-3582MaRDI QIDQ2515901zbMATH OpenFDO

Authors Daniel Lanoue, Justin Salez, David Aldous

Publication date 7 August 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1406.1214

zbMATH Keywords

coalescentcompulsive gambler processexchangeabilityinteracting particle systemmartingalesPoisson processsocial dynamics

Mathematics Subject Classification ID

Exchangeability for stochastic processes (60G09) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on discrete state spaces (60J27) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Probabilistic games; gambling (91A60)

Abstract: In the compulsive gambler process there is a finite set of agents who meet pairwise at random times ($i$ and $j$ meet at times of a rate-$u_{ij}$ Poisson process) and, upon meeting, play an instantaneous fair game in which one wins the other's money. We introduce this process and describe some of its basic properties. Some properties are rather obvious (martingale structure; comparison with Kingman coalescent) while others are more subtle (an "exchangeable over the money elements" property, and a construction reminiscent of the Donnelly-Kurtz look-down construction). Several directions for possible future research are described. One -- where agents meet neighbors in a sparse graph -- is studied here, and another -- a continuous-space extension called the {em metric coalescent} -- is studied in Lanoue (2014).

Recommendations

• Gambler's ruin problem on Erdős-Rényi graphs
• scientific article; zbMATH DE number 1453164
• Extensions of gambler's ruin with even odds: multinomial and other models
• How fast will we lose?
• On a discrete version of the CIR process

Cited in

(3)

• Gambler's ruin problem on Erdős-Rényi graphs
• Gambler's ruin and the ICM
• Stochastic analysis of average-based distributed algorithms

This page was built for publication: The compulsive gambler process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2515901)