Related papers: Generalized Gambler's Ruin Problem: explicit formu…
We derive an explicit formula for the probability of ruin of a gambler playing against an infinitely-rich adversary, when the games have payoff given by a general integer-valued probability distribution.
The power of symbolic computation, as opposed to mere numerical computation, is illustrated with efficient algorithms for studying the generalized gambler's ruin problem in one and two dimensions. We also consider a new generalization of…
This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the…
We present here a new extended model of the gambler's ruin problem by incorporating delays in receiving of rewards and paying of penalties. When there is a difference between two delays, an exact analysis of the ruin probability is…
In the extended gambler's ruin problem we can move one step forward or backward (classical gambler's ruin problem), we can stay where we are for a time unit (delayed action) or there can be absorption in the current state (game is…
In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the fnite-time Parisian ruin…
Consider gambler's ruin with three players, 1, 2, and 3, having initial capitals $A$, $B$, and $C$ units. At each round a pair of players is chosen (uniformly at random) and a fair coin flip is made resulting in the transfer of one unit…
The gambler's ruin problem for correlated random walks (CRW), both with and without delays, is addressed using the Optional Stopping Theorem for martingales. We derive closed-form expressions for the ruin probabilities and the expected game…
Assume that letters (from a finite alphabet) in a text form a Markov chain. We track two distinct words, $U$ and $D$. A gambler gains 1 point for each occurrence of $U$ (including overlapping occurrences) and loses 1 point for each…
We study the ruin problem over a risk process described by a discrete-time Markov model. In contrast to previous studies that focused on the asymptotic behaviour of ruin probabilities for large values of the initial capital, we provide a…
Gambler's ruin estimates can be viewed as harmonic measure estimates for finite Markov chains which are absorbed (or killed) at boundary points. We relate such estimates to properties of the underlying chain and its Doob transform.…
In this paper we provide formulas for the expectation of a conditional game duration in a finite state-space one-dimensional gambler's ruin problem with arbitrary winning $p(n)$ and losing $q(n)$ probabilities (i.e., they depend on the…
We study the following game. Three players start with initial capitals of $s_{1},s_{2},s_{3}$ dollars; in each round player $P_{m}$ is selected with probability $\frac{1}{3}$; then \emph{he} selects player $P_{n}$ and they play a game in…
We consider the simple random walk on the $N$-dimensional integer lattice from the perspective of evaluating asymptotically the duration of play in the multidimensional gambler\apost s ruin problem. We show that, under suitable rescalings,…
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…
This article studies in detail the solution of an integral equation due to Rongming et al. [13]. The methods involve complex analysis. As an application, we find the ruin probability of a given Bonus-Malus system in a steady state. We…
In this paper we consider some generalizations of the classical d-dimensional Brownian risk model. This contribution derives some non-asymptotic bounds for simultaneous ruin probabilities of interest. In addition, we obtain non-asymptotic…
We analyze the classical Brownian risk models discussing the approximation of ruin probabilities (classical, {\gamma}-reflected, Parisian and cumulative Parisian) for the case that ruin can occur only on specific discrete grids. A practical…
In this paper, we propose a new multi-armed bandit problem called the Gambler's Ruin Bandit Problem (GRBP). In the GRBP, the learner proceeds in a sequence of rounds, where each round is a Markov Decision Process (MDP) with two actions…
For a family of multidimensional gambler models we provide formulas for the winning probabilities (in terms of parameters of the system) and for the distribution of game duration (in terms of eigenvalues of underlying one-dimensional…