Gambler's ruin probability -- a general formula

DOI10.1016/j.spl.2013.06.005zbMath1283.91027arXiv1209.4203OpenAlexW2962825012MaRDI QIDQ2435737

Guy Katriel

Publication date: 19 February 2014

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

Full work available at URL: https://arxiv.org/abs/1209.4203

zbMATH Keywords

ruin probabilitygambler's ruin problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

Related Items

Gambler’s Ruin: The Duration of Play ⋮ Deciding when to quit the gambler's ruin game with unknown probabilities ⋮ Reaching consensus on a connected graph ⋮ Infinite-Duration Bidding Games

Cites Work

• Unnamed Item
• Unnamed Item
• Bounds on gambler's ruin probabilities in terms of moments
• Interpolation and approximation by polynomials
• Improved analytical bounds for gambler's ruin probabilities
• A note on absorption probabilities in one-dimensional random walk via complex-valued martingales
• An aspect of the Gambler's Ruin problem
• The Doctrine of Chances
• Pascal's Problem: The 'Gambler's Ruin'