A gambler that bets forever and the strong law of large numbers

DOI10.1080/00029890.2022.2005438zbMATH Open1480.60109arXiv2105.03803OpenAlexW3163336770MaRDI QIDQ5037313FDOQ5037313

Authors: Calvin Wooyoung Chin 

Publication date: 28 February 2022

Published in: The American Mathematical Monthly (Search for Journal in Brave)

Abstract: In this expository note, we give a simple proof that a gambler repeating a game with positive expected value never goes broke with a positive probability. This does not immediately follow from the strong law of large numbers or other basic facts on random walks. Using this result, we provide an elementary proof of the strong law of large numbers. The ideas of the proofs come from the maximal ergodic theorem and Birkhoff's ergodic theorem.

Full work available at URL: https://arxiv.org/abs/2105.03803

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Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

Cites Work

• Title not available (Why is that?)
• Probability

Cited In (2)

• Laws relating runs, long runs, and steps in gambler's ruin, with persistence in two strata
• Yet Another Proof of the Strong Law of Large Numbers

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