Fair gambler’s ruin stochastically maximizes playing time

DOI10.1017/APR.2021.46MaRDI QIDQ5084798zbMATH OpenOpenAlexFDO

Authors Erol A. Peköz, Sheldon M. Ross

Publication date 28 June 2022

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/apr.2021.46

zbMATH Keywords

gambler's ruinplaying timestochastic inequality

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50)

Cites work

• Gambler's ruin: the duration of play
• scientific article; zbMATH DE number 3246207 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Introduction to Probability Models
• The probability distribution of the duration of the game in the classical ruin problem

Cited in

(8)

• The Two-Dimensional Asymmetric Gambler's Ruin Problem withnPlayers and Simulations
• scientific article; zbMATH DE number 5735062 (Why is no real title available?)
• scientific article; zbMATH DE number 1465680 (Why is no real title available?)
• Variance of the game duration in the gambler's ruin problem
• scientific article; zbMATH DE number 7057254 (Why is no real title available?)
• Stochastic ordering results on the duration of the gambler's ruin game
• Stochastic domination of exit times for random walks and Brownian motion with drift
• Increasing Gambler’s Ruin duration and Brownian motion exit times

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