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

DOI10.1239/JAP/1158784944zbMATH Open1137.60035OpenAlexW1996189735MaRDI QIDQ5754686FDOQ5754686

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

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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)

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Cited In (7)

• Title not available (Why is that?)
• Numerical analysis of ruin games
• Deciding when to quit the gambler's ruin game with unknown probabilities
• Reaching consensus on a connected graph
• Gambler's ruin and the ICM
• Markov chains for collaboration
• On the placing probabilities for the four-tower problem using recursions based on multigraphs

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