A matrix-analytic approach to the N-player ruin problem
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Publication:5754686
DOI10.1239/jap/1158784944zbMath1137.60035OpenAlexW1996189735MaRDI QIDQ5754686
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
Markov processphase-type distributionhitting timehitting probabilityfolding algorithm\(N\)-player ruin problemmultivariate absorbing Markov chain
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)
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Cites Work