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 between these two players. Eventually, one of the players is eliminated and play continues with the remaining two. Let $σ\in S_3$ be the elimination order (e.g., $σ=132$ means player 1 is eliminated first and player 3 is eliminated second, leaving player 2 with $A+B+C$ units).
We seek approximations (and exact formulas) for the elimination order probabilities $P_{A,B,C}(σ)$. Exact, as well as arbitrarily precise, computation of these probabilities is possible when $N:=A+B+C$ is not too large. Linear interpolation can then give reasonable approximations for large $N$. One frequently used approximation, the independent chip model (ICM), is shown to be inadequate. A regression adjustment is proposed, which seems to give good approximations to the elimination order probabilities.
We obtain absorption probabilities and expected time until absorption for different stopping strategies in gambler's ruin problem using the concept of multiple function barriers
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.
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. Precisely, we show that gambler's ruin estimates reduce to a good understanding of the Perron-Frobenius eigenfunction and eigenvalue whenever the underlying chain and its Doob transform are Harnack Markov chains. Finite inner-uniform domains (say, in the square grid $\mathbb Z^n$) provide a large class of examples where these ideas apply and lead to detailed estimat…
We give explicit formulas for ruin probabilities in a multidimensional Generalized Gambler's ruin problem. The generalization is best interpreted as a game of one player against $d$ other players, allowing arbitrary winning and losing probabilities (including ties) depending on the current fortune with particular player. It includes many previous other generalizations as special cases. Instead of usually utilized first-step-like analysis we involve dualities between Markov chains. We give general procedure for solving ruin-like problems utilizing Siegmund duality in Markov chains for partially…
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 difficult. We derive an approximate scheme to find an effective shift in the initial assets of the gambler. Through comparison against computer simulations, this approximation is shown to work for small differences between the two delays.
We consider the classical one-dimensional random walk of a particle on the right-half real line. We assume that the particle is initially at position x=k, k > 0, and moves to the right with probability p or to the left with probability 1-p. We consider that the particle is absorbed at the origin without fixing the number of steps needed to get there. We calculate the probability P(x=k) that the particles end up at the origin, given that it starts at x=k, by means of a geometric representation of this random walk in terms of paths on a two-dimensional lattice.
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 dominant player (i.e., a player starting with all but 3 chips distributed among the remaining players) is first to loose is of order $N^{-α}$ where $α$ is approximately $5.68$. In the $3$-player game, this probability is or order $N^{-3}$. We note it is futile to attempt to give heuristic/intuitive explanations for the value of $α$. This value is obtained via an e…
Define a certain gambler's ruin process $\mathbf{X}_{j}, \mbox{ \ }j\ge 0,$ such that the increments $\varepsilon_{j}:=\mathbf{X}_{j}-\mathbf{X}_{j-1}$ take values $\pm1$ and satisfy $P(\varepsilon_{j+1}=1|\varepsilon_{j}=1, |\mathbf{X}_{j}|=k)=P(\varepsilon_{j+1}=-1|\varepsilon_{j}=-1,|\mathbf{X}_{j}|=k)=a_k$, all $j\ge 1$, where $a_k=a$ if $ 0\le k\le f-1$, and $a_k=b$ if $f\le k<N$. Here $0<a, b <1$ denote persistence parameters and $ f ,N\in \mathbb{N} $ with $f<N$. The process starts at $\mathbf{X}_0=m\in (-N,N)$ and terminates when $|\mathbf{X}_j|=N$. Denote by ${\cal R}'_N$, ${\cal U}'_…
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, all $p$-moments of exit-times from balls in the $L$-infinity metric, and all $p$-moments of partial-maxima values in this metric, possess associated asymptotic limit expressions, admitting two representations each. We derive for this purpose multidimensional refinements of the corresponding two-folded extension of Erd\H os-Kac theorem, which we revisit to th…
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 terminated without reaching an absorbing barrier). We obtain absorption probabilities, probabilities for maximum and minimum values of the ruin problem, expected time until absorption and the value of the game. We also investigate asymptotic behavior of absorption probabilities and expected time until absorption. We introduce a conjugate version of our random walk.
We used the random walk to model the problem of reserves. The classic case of a stochastic process is the example of random walks, which are used to study a set of phenomena and, particularly, as in this article, models of reserves evolution. Random walks also allow the construction of significant complex systems and are also used as an instrument of analysis, being used in the sense of giving a theoretical characteristic to other types of systems. Our goal is primarily to study reserves to see how to ensure that pension funds are sustainable. This classic approach to the study of pension fund…
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 current fortune). The formulas are stated in terms of the parameters of the system. Beyer and Waterman [Mathematics Magazine, 50(1), 1977] showed that for the classical gambler's ruin problem the distribution of a conditional absorption time is symmetric in $p$ and $q$. Our formulas imply that for non-constant winning/losing probabilities the expectation of a co…
In Gambler's Ruin when both players start with the same amount of money, we show the playing time stochastically increases when the games are made more fair. We give two different arguments for this fact that extend results from \cite{Pek2021}. We then use this to show that the exit time from a symmetric interval for Brownian motion with drift stochastically increases as the drift moves closer to zero; this result is not easily obtainable from available explicit formulas for the density.
This paper treats of a kind of a gambler's ruin problem, which seeks the probability that a random walker first hits the origin at a certain time. In addition to a usual random walk which hops either rightwards or leftwards, the present paper introduces the `halt' that the walker does not hop with a certain probability. The solution to the problem can be obtained exactly using a Gauss hypergeometric function. The moment generating function of the duration is also calculated, and a calculation technique of the moments is developed. The author derives the long-time behavior of the ruin probabili…
We consider a model of open quantum random walk and together with a quantum trajectory approach we are able to examine a notion of hitting time. We see that many constructions, such as minimal solutions to hitting time problems, are variations of well-known classical probability results, but the density matrix degree of freedom on each site gives rise to systems which are seen to be nonclassical. As a more specific application we study the collection of walks induced by normal commuting contractions, for which the corresponding probability expressions are obtained. We examine quantum versions …
What is the average number of tosses needed before a particular sequence of heads and tails turns up? We solve the problem didactically, starting with doubles, finding that a tail, followed by a head, turns up on the average after only four tosses, while six tosses are needed for two successive heads. The method is extended to encompass the triples head-tail-tail and head-head-tail, but head-tail-head and head-head-head are surprisingly more recalcitrant. However, the general case is finally solved by a new algorithm that allows a simple computation that can be done by hand, even for relativel…
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 games). These formulas were known for one-dimensional case - initially proofs were purely analytical, later probabilistic construction has been given. Concerning the game duration, in many cases our approach yields sample-path constructions. We heavily exploit intertwining between (not necessary) stochastic matrices (for game duration results), a notion of Siegmun…
