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math.PR2018
Absorption time and absorption probabilities for a family of multidimensional gambler models
Paweł Lorek, Piotr Markowski
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 (…
math.PR2018
Conditional gambler's ruin problem with arbitrary winning and losing probabilities with applications
Paweł Lorek, Piotr Markowski
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 an…