On distibutions of first passage times of martingales arising in some gambling problems

DOI10.1007/S13160-017-0269-5zbMath1376.91040OpenAlexW2765991431MaRDI QIDQ1684778

Alexander Novikov, Shunsuke Kaji

Publication date: 12 December 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-017-0269-5

zbMATH Keywords

martingalestrading strategiesstopping timesgambling

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

Cites Work

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• A martingale approach in problems on first crossing time of nonlinear boundaries
• A gambling system and a Markov chain
• A bound for the distribution of a stopping time for a stochastic system
• On random walks with jumps scaled by cumulative sums of random variables
• The Doctrine of Chances
• Martingales, Tauberian Theorem, and Strategies of Gambling
• On the Stochastic Matrices Associated with Certain Queuing Processes

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