Asymptotics for the time of ruin in the war of attrition

DOI10.1017/APR.2017.6zbMATH Open1425.60041arXiv1607.07636OpenAlexW2963944512MaRDI QIDQ5233173FDOQ5233173

Authors: Ilie Grigorescu, Philip Ernst 

Publication date: 16 September 2019

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

Abstract: We consider two players, starting with $m$ and $n$ units, respectively. In each round, the winner is decided with probability proportional to each player's fortune, and the opponent loses one unit. We prove an explicit formula for the probability $p(m,n)$ that the first player wins. When $msimN{x}_0$, $nsimN{y}_0$, we prove the fluid limit as $Noinfty$. When $x_0=y_0$, then $zop(N,N+zsqrtN)$ converges to the standard normal CDF and the difference in fortunes scales diffusively. The exact limit of the time of ruin $a{u}_N$ is established as $$, $$, $T=x_0+y_0$. Modulo a constant, $Wsimch{i}_1^2(z_0^2/T^2)$.

Full work available at URL: https://arxiv.org/abs/1607.07636

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zbMATH Keywords

evolutionary game theorywar of attritiongambler's ruindiffusive scalingnoncentered chi-squared

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

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Cited In (4)

• The extinction problem for a distylous plant population with sporophytic self-incompatibility
• The absence of attrition in a war of attrition under complete information
• The Two-Dimensional Asymmetric Gambler's Ruin Problem withnPlayers and Simulations
• The War of Attrition in Continuous Time with Complete Information

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