Expectation of the largest bet size in the Labouchere system

DOI10.1214/19-ECP220zbMATH Open1412.60062arXiv1807.11729MaRDI QIDQ2631805FDOQ2631805

Authors: Yanjun Han, Guanyang Wang 

Publication date: 16 May 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: For Labouchere system with winning probability $p$ at each coup, we prove that the expectation of the largest bet size under any initial list is finite if $p>frac12$, and is infinite if $plefrac12$, solving the open conjecture in Grimmett and Stirzaker (2001). The same result holds for a general family of betting systems, and the proof builds upon a recursive representation of the optimal betting system in the larger family.

Full work available at URL: https://arxiv.org/abs/1807.11729

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zbMATH Keywords

combinatoricsmartingalegambling theoryLabouchere system

Mathematics Subject Classification ID

Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• The Doctrine of Chances
• On the edge dimension of a graph
• Title not available (Why is that?)
• Absorption Time Distribution for an Asymmetric Random Walk

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