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The probability distribution of the duration of the game in the classical ruin problem

Published online by Cambridge University Press:  14 July 2016

Edi Karni
Edi Karni*
Affiliation:
Tel-Aviv University
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Abstract

This paper develops simple expressions for the exact probability distribution of the duration of the game, and the probability distribution of the duration of the game conditional upon its termination with the gambler's ruin, in the classical ruin problem.

Keywords

CLASSICAL RUIN PROBLEMDURATION OF RANDOM WALK WITH ABSORBING BARRIERS

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 14 , Issue 2 , June 1977 , pp. 416 - 420
Copyright
Copyright © Applied Probability Trust 1977 

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References

[1] Feller, W. (1968) An Introduction to Probability Theory and Its Applications, 3rd edn. Wiley, New York.Google Scholar