Expectation of the Largest bet size in Labouchere System

Abstract

For Labouchere system with winning probability $p$ at each coup, we prove that the expectation of the largest bet size under any initial list is finite if $p>\frac{1}{2}$, and is infinite if $p\le \frac{1}{2}$, solving the open conjecture in Grimmett and Stirzaker (2001). The same result holds for a general family of betting systems, and the proof builds upon a recursive representation of the optimal betting system in the larger family.