Related papers: Extended gambler's ruin problem

Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…

We study a pursuit-evasion problem which can be viewed as an extension of the keep-away game. In the game, pursuer(s) will attempt to intersect or catch the evader, while the evader can visit a fixed set of locations, which we denote as the…

We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ($i=1,2,\dots$) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model…

A simplified prisoner's game is studied on a square lattice when the players interacting with their neighbors can follow only two strategies: to cooperate (C) or to defect (D) unconditionally. The players updated in a random sequence have a…

Generalizing a problem posed by Cover, we propose an adversarial game in which a permutation is incrementally constructed in a setting of partial information. As in the secretary problem, this permutation is exposed in stages via the…

In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve…

Motivated by novel results in the theory of complex adaptive systems, we analyze the dynamics of random walks in which the jumping probabilities are {\it time-dependent}. We determine the survival probability in the presence of an absorbing…

We consider two-player random extensive form games where the payoffs at the leaves are independently drawn uniformly at random from a given feasible set C. We study the asymptotic distribution of the subgame perfect equilibrium outcome for…

We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…

We study a ruin problem for an annuity model where a fixed fraction of capital is invested in a risky asset. Under weak assumptions on jumps, the ruin probability solves a second-order integro-differential equation and decays as a power…

According to the standard imitation protocol, a less successful player adopts the strategy of the more successful one faithfully for future success. This is the cornerstone of evolutionary game theory that explores the vitality of competing…

We study a modified prisoner's dilemma game taking place on two-dimensional disordered square lattices. The players are pure strategists and can either cooperate or defect with their immediate neighbors. In the generations each player…

Acting as a goalkeeper in a video-game, a participant is asked to predict the successive choices of the penalty taker. The sequence of choices of the penalty taker is generated by a stochastic chain with memory of variable length. It has…

In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed and heavy-tailed case of the claim sizes. Main technique is…

We study an elementary two-player card game where in each round players compare cards and the holder of the smallest card wins. Using the rate equations approach, we treat the stochastic version of the game in which cards are drawn…

We revisit the game in which each of several players chooses a pattern and then a coin is flipped repeatedly until one of these patterns is generated. In particular, we demonstrate how to compute the probability of any one player winning…

Let $\left\{\sum_{i=1}^n \lambda_i X_i(t), t\in [0,T]\right\}$ be an aggregate Gaussian risk process with $X_i, i\leq n$ independent Gaussian processes satisfying Piterbarg conditions and $\lambda_i$'s given positive weights. In this paper…

In this work we consider open quantum random walks on the non-negative integers. By considering orthogonal matrix polynomials we are able to describe transition probability expressions for classes of walks via a matrix version of the…

In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance…

Absorption of two-state coined quantum walks on a finite line with two sinks located at $N$ and $-N$ is investigated. Elaborating on the results of Konno et al., J. Phys. A: Math. Gen. 36 241 (2003), we derive closed formulas for the…