THE GAMBLER'S RUIN PROBLEM WITH CORRELATION

DOI10.1093/BIOMET/42.3-4.486MaRDI QIDQ3227952zbMATH OpenOpenAlexFDO

Authors C. Mohan

Publication date 1955

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/42.3-4.486

zbMATH Keywords

probability theory

Cited in

(9)

• A single server queuing system with correlated reneging and feedback of served customers
• Optimal Buy/Sell Rules for Correlated Random Walks
• Optimal stopping rules for correlated random walks with a discount
• Stopping the maximum of a correlated random walk, with cost for observation
• A Queueing Problem with Correlated Arrivals and General Service Time Distribution
• Occupation probability of a correlated random walk and a correlated ruin problem
• A lower bound for probabilistic algorithms for finite state machines
• Optimal placement in a limit order book: an analytical approach
• Conditional expected durations of play given the ultimate outcome for a correlated random walk

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