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

DOI10.1239/jap/1158784944zbMath1137.60035OpenAlexW1996189735MaRDI QIDQ5754686

F. Thomas Bruss, Yvik Swan

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

Markov processphase-type distributionhitting timehitting probabilityfolding algorithm\(N\)-player ruin problemmultivariate absorbing Markov chain

Mathematics Subject Classification ID

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)

Related Items

Gambler's ruin and the ICM, Deciding when to quit the gambler's ruin game with unknown probabilities, Reaching consensus on a connected graph

Cites Work

• Exit times from equilateral triangles
• The Computer Solves the Three Tower Problem
• Renewal processes of phase type
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• On the N-tower problem and related problems
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