scientific article; zbMATH DE number 7470633

MaRDI QIDQ5026471

Piotr Markowski, Paweł Lorek

Publication date: 8 February 2022

Full work available at URL: https://arxiv.org/abs/1812.00690

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

eigenvaluesKronecker productsintertwiningpartial orderingabsorption timeabsorption probabilitySiegmund dualitygeneralized gambler's ruin problem

Mathematics Subject Classification ID

Applications of branching processes (60J85) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

Cites Work

• Gambler's ruin problem in several dimensions
• The asymmetric \(n\)-player gambler's ruin problem with equal initial fortunes
• Strong stationary times via a new form of duality
• The passage time distribution for a birth-and-death chain: Strong stationary duality gives a first stochastic proof
• Gambler's ruin and winning a series by \(m\) games
• The conditional gambler's ruin problem with ties allowed
• The equivalence of absorbing and reflecting barrier problems for stochastically monotone Markov processes
• Markov chain models - rarity and exponentiality
• Hitting time distributions for denumerable birth and death processes
• Generalized gambler's ruin problem: explicit formulas via Siegmund duality
• A Simple Solution to a Multiple Player Gambler's Ruin Problem
• SIEGMUND DUALITY FOR MARKOV CHAINS ON PARTIALLY ORDERED STATE SPACES
• The Several Dimensional Gambler's Ruin Problem
• HITTING TIME DISTRIBUTIONS FOR BIRTH–DEATH PROCESSES WITH BILATERAL ABSORBING BOUNDARIES
• Monotone Stochastic Recursions and their Duals
• Unnamed Item
• Unnamed Item
• Unnamed Item