Bounds on gambler's ruin probabilities in terms of moments
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Publication:1610850
DOI10.1023/A:1015705430513zbMath0997.60042OpenAlexW2170508467MaRDI QIDQ1610850
Davar Khoshnevisan, Stewart N. Ethier
Publication date: 20 August 2002
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1015705430513
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A note on absorption probabilities in one-dimensional random walk via complex-valued martingales ⋮ In praise (and search) of J. V. Uspensky ⋮ Gambler's ruin and winning a series by \(m\) games ⋮ Gambler's ruin probability -- a general formula ⋮ Trinomial random walk with one or two imperfect absorbing barriers ⋮ Extinction in a branching process: why some of the fittest strategies cannot guarantee survival ⋮ Deciding when to quit the gambler's ruin game with unknown probabilities ⋮ Solution of a roulette-type ruin problem. A correction to: A rule of thumb (not only) for gamblers. ⋮ Improved analytical bounds for gambler's ruin probabilities ⋮ Discrete Lundberg-type bounds with actuarial applications
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