Related papers: Extended gambler's ruin problem

We propose an extensive-form solution concept, with players that neglect information from hypothetical events, but make inferences from observed events. Our concept modifies cursed equilibrium (Eyster and Rabin, 2005), and allows that…

We introduce a simple extension of the minority game in which the market rewards contrarian (resp. trend-following) strategies when it is far from (resp. close to) efficiency. The model displays a smooth crossover from a regime where…

As a strategy to complete games quickly, we investigate one-dimensional random walks where the step length increases deterministically upon each return to the origin. When the step length after the kth return equals k, the displacement of…

This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environmental process. We subsequently…

We consider a centered random walk with finite variance and investigate the asymptotic behaviour of the probability that the area under this walk remains positive up to a large time $n$. Assuming that the moment of order $2+\delta$ is…

We study a new modification of the Arrival problem, which allows for nodes that exhibit random as well as controlled behaviour, in addition to switching nodes. We study the computational complexity of these extensions, building on existing…

In this note, we investigate combinatorial games where both players move randomly (each turn, independently selecting a legal move uniformly at random). In this model, we provide closed-form expressions for the expected number of turns in a…

We study the persistence probability for some discrete-time, time-reversible processes. In particular, we deduce the persistence exponent in a number of examples: first, we deal with random walks in random sceneries (RWRS) in any dimension…

In this paper, we consider mean-field games where the interaction of each player with the mean-field takes into account not only the states of the players but also their collective behavior, To do so, we develop a random variable framework…

In a two-stage repeated classical game of prisoners' dilemma the knowledge that both players will defect in the second stage makes the players to defect in the first stage as well. We find a quantum version of this repeated game where the…

The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.

In this paper, we study Grover walks on a line with one and two absorbing boundaries. In particular, we present some results for the absorbing probabilities both in a semi-finite and finite line. Analytical expressions for these absorbing…

Let $\textbf{Z}(t)=(Z_1(t) ,\ldots, Z_d(t))^\top , t \in \mathbb{R}$ where $Z_i(t), t\in \mathbb{R}$, $i=1,...,d$ are mutually independent centered Gaussian processes with continuous sample paths a.s. and stationary increments. For…

In the best choice problem with random arrivals, an unknown number $n$ of rankable items arrive at times sampled from the uniform distribution. As is well known, a real-time player can ensure stopping at the overall best item with…

Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…

In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In…

We consider two-stage robust optimization problems, which can be seen as games between a decision maker and an adversary. After the decision maker fixes part of the solution, the adversary chooses a scenario from a specified uncertainty…

The study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserve into a risky asset with the price dynamics given by a geometric Brownian motion. We…

In the classical leader election procedure all players toss coins independently and those who get tails leave the game, while those who get heads move to the next round where the procedure is repeated. We investigate a generalizion of this…

We consider two-player turn-based games with zero-reachability and zero-safety objectives generated by extended vector addition systems with states. Although the problem of deciding the winner in such games is undecidable in general, we…