Conditional Expectation of the Duration in the Classical Ruin Problem

DOI10.2307/2690342MaRDI QIDQ4070084zbMATH OpenOpenAlexFDO

Authors Frederick Stern

Publication date 1975

Full work available at URL https://doi.org/10.2307/2690342

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Cited in

(14)

• Moments of Absorption Time for a Conditioned Random Walk
• Localization of defects via residence time measures
• On first passage time structure of random walks
• A tug-of-war team contest
• A novel version for three-player gambler's ruin problem
• Variance of the game duration in the gambler's ruin problem
• The asymmetric n-player gambler's ruin problem with equal initial fortunes
• The conditional gambler's ruin problem with ties allowed
• The gambler's ruin problem with n players and asymmetric play
• On profitability of Nakamoto double spend
• Biased random walks on the interlacement set
• Another look at independence of hitting place and time for the simple random walk
• A game based on successive events
• Conditional expected durations of play given the ultimate outcome for a correlated random walk

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