Absorption time and absorption probabilities for a family of multidimensional gambler models

arXiv1812.00690MaRDI QIDQ6310593FDOQ6310593

Publication date: 3 December 2018

Abstract: For a family of multidimensional gambler models we provide formulas for the winning probabilities (in terms of parameters of the system) and for the distribution of game duration (in terms of eigenvalues of underlying one-dimensional games). These formulas were known for one-dimensional case - initially proofs were purely analytical, later probabilistic construction has been given. Concerning the game duration, in many cases our approach yields sample-path constructions. We heavily exploit intertwining between (not necessary) stochastic matrices (for game duration results), a notion of Siegmund duality (for winning/ruin probabilities), and a notion of Kronecker products.

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) Applications of branching processes (60J85) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

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