On the gambler's ruin problem for a finite Markov chain

DOI10.1016/j.spl.2009.03.029zbMath1172.60311OpenAlexW1977188793MaRDI QIDQ923860

M. A. El-Shehawey

Publication date: 24 July 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.03.029

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items

Generalized gambler's ruin problem: explicit formulas via Siegmund duality ⋮ Deciding when to quit the gambler's ruin game with unknown probabilities ⋮ Reaching consensus on a connected graph

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