Martingales, Tauberian Theorem, and Strategies of Gambling

DOI10.1137/S0040585X9797571XMaRDI QIDQ4384404zbMATH OpenFDO

Authors A. Novikov

Publication date 8 September 1998

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

optimal stoppinglocal martingalesuniform integrabilitysharp inequalitiesWald equationboundary crossing problemgambling strategies

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• On distibutions of first passage times of martingales arising in some gambling problems
• A bound for the distribution of a stopping time for a stochastic system
• The strong limit theorem of bounded gambling system
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Cited in

(16)

• Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model
• The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• Derivative martingale of the branching Brownian motion in dimension \(d\ge 1\)
• Weak tail conditions for local martingales
• First-passage times for random walks with nonidentically distributed increments
• Asymptotics of first-passage time over a one-sided stochastic boundary
• On the first-passage times of certain Gaussian processes, and related asymptotics
• On distibutions of first passage times of martingales arising in some gambling problems
• Crossing an asymptotically square-root boundary by the Brownian motion
• scientific article; zbMATH DE number 6607427 (Why is no real title available?)
• Nowak's Theorem on Probability Measures Induced by Strategies Revisited
• The tail estimation of the quadratic variation of a quasi left continuous local martingale
• On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary
• Curve crossing for random walks reflected at their maximum
• First passage problems over increasing boundaries for Lévy processes with exponentially decayed Lévy measures

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