Related papers: Extended gambler's ruin problem

Random walks are powerful tools to analyze spatial-temporal patterns produced by living organisms ranging from cells to humans. At the same time, it is evident that these patterns are not completely random but are results of a convolution…

This work explains how to utilize earlier results by P. Diaconis, K. Houston-Edwards and the second author to estimate probabilities related to the 4-player gambler ruin problem. For instance, we show that the probability that a very…

We consider a generalisation of the classical coupon collector's problem, in which at each time step a collector either receives a new copy of a randomly chosen coupon, or loses all their previously collected copies of that coupon. We…

We obtain expected number of arrivals, absorption probabilities and expected time until absorption for an asymmetric discrete random walk on a graph in the presence of multiple function barriers. On each edge of the graph and in each vertex…

This article studies asymptotic approximations of ruin probabilities of multivariate random walks with heavy-tailed increments. Under our assumptions, the distributions of the increments are closely connected to multivariate…

In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time $d>0$. We identify expressions for the ruin probabilities within…

We reconsider a classical, well-studied problem from applied probability. This is the max-sum equivalence of randomly weighted sums, and the originality is because we manage to include interdependence among the primary random variables, as…

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…

In this paper, we build on the techniques developed in Albrecher et al. (2013), to generate initial-boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim…

We study a simple random process in which vertices of a connected graph reach consensus through pairwise interactions. We compute outcome probabilities, which do not depend on the graph structure, and consider the expected time until a…

We introduce a two-player model of reinforcement learning with memory. Past actions of an iterated game are stored in a memory and used to determine player's next action. To examine the behaviour of the model some approximate methods are…

We consider a particle which is randomly accelerated by Gaussian white noise on the line 0<x<1, with absorbing boundaries at x=0,1. Denoting the initial position and velocity of the particle by x_0 and v_0 and solving a Fokker-Planck type…

We consider an autonomous navigation problem, whereby a traveler aims at traversing an environment in which an adversary tries to set an ambush. A two players zero sum game is introduced. Players' strategies are computed as random path…

In this paper we investigate continuity properties for ruin probability in the classical risk model. Properties of contractive integral operators are used to derive continuity estimates for the deficit at ruin. These results are also…

Approachability has become a standard tool in analyzing earning algorithms in the adversarial online learning setup. We develop a variant of approachability for games where there is ambiguity in the obtained reward that belongs to a set,…

We study the gambler's ruin problem for a biased random walk on $\{0,1,\dots,a\}$ under multi-site geometric resetting: at each time step, the walker is reset with probability $\gamma\in(0,1)$ to a random position drawn from a distribution…

In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{\'e}vy process and the return on investment R is a semimartingale. We obtain upper bounds on the finite and infinite time ruin…

A gambler moves between the vertices $1, \ldots, n$ of a graph using the probability distribution $p_{1}, \ldots, p_{n}$. Multiple cops pursue the gambler on the graph, only being able to move between adjacent vertices. We investigate the…

We study quitting games and define the concept of absorption paths, which is an alternative definition to strategy profiles that accomodates both discrete time aspects and continuous time aspects, and is parameterized by the total…

We study, in d-dimensions, the random walker with geometrically shrinking step sizes at each hop. We emphasize the integrated quantities such as expectation values, cumulants and moments rather than a direct study of the probability…