Stochastic ordering results on the duration of the gambler's ruin game

DOI10.1017/JPR.2023.62MaRDI QIDQ6500028

Yi-Ching Yao, S.-R. Hsiau

Publication date: 10 May 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

Brownian motionlikelihood ratio ordermonotone likelihood ratiousual stochastic orderfirst exit time

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• Stochastic orders
• The Theory of Decision Procedures for Distributions with Monotone Likelihood Ratio
• Understanding Markov Chains
• Fair gambler’s ruin stochastically maximizes playing time
• Level-crossing problems for random processes
• The First Passage Problem for a Continuous Markov Process

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