A matrix-analytic approach to the N-player ruin problem

DOI10.1239/JAP/1158784944MaRDI QIDQ5754686zbMATH OpenOpenAlexFDO

Authors Yvik Swan, F. Thomas Bruss

Publication date 23 August 2007

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

Full work available at URL https://doi.org/10.1239/jap/1158784944

zbMATH Keywords

phase-type distributionMarkov processhitting timehitting probabilityfolding algorithm\(N\)-player ruin problemmultivariate absorbing Markov chain

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Recommendations

• The asymmetric n-player gambler's ruin problem with equal initial fortunes
• scientific article; zbMATH DE number 1833412
• The asymmetric \(n\)-player gambler's ruin problem with ties allowed and simulation
• Extensions of gambler's ruin with even odds: multinomial and other models
• The gambler's ruin problem with \(n\) players and asymmetric play

Cites work

• scientific article; zbMATH DE number 4140918 (Why is no real title available?)
• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• scientific article; zbMATH DE number 621885 (Why is no real title available?)
• scientific article; zbMATH DE number 2114222 (Why is no real title available?)
• scientific article; zbMATH DE number 3257775 (Why is no real title available?)
• Exit times from equilateral triangles
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• On the N-tower problem and related problems
• Renewal processes of phase type
• The Computer Solves the Three Tower Problem

Cited in

(7)

• scientific article; zbMATH DE number 1833412 (Why is no real title available?)
• Gambler's ruin and the ICM
• Reaching consensus on a connected graph
• Markov chains for collaboration
• Numerical analysis of ruin games
• Deciding when to quit the gambler's ruin game with unknown probabilities
• On the placing probabilities for the four-tower problem using recursions based on multigraphs

This page was built for publication: A matrix-analytic approach to the N-player ruin problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5754686)