Title :
Mean Ruin Time for Gambler´s Ruin Problem
Author :
Meiping, Xu ; Yuanwei, Xu
Author_Institution :
Sch. of Sci., Beijing Technol. & Bus. Univ., Beijing, China
Abstract :
In this note, we point out mean ruin time is a concept which is different from mean persisting gambled time and present theoretical and numerical solutions for mean ruin time of gambler´s ruin problem. Then we employ Monte Carlo simulation to verify that mean ruin time of the gambler with less initial fortune is far less than mean persisting gambled time especially when his winning probability is close to his losing probability on each play of the game.
Keywords :
Monte Carlo methods; game theory; probability; Gambler ruin problem; Monte Carlo simulation; mean ruin time; Absorption; Business; Games; Markov processes; Monte Carlo methods; Numerical models; Simulation; Monte Carlo simulation; markov chain; mean persisting gambled time; mean ruin time;
Conference_Titel :
Business Computing and Global Informatization (BCGIN), 2011 International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4577-0788-9
Electronic_ISBN :
978-0-7695-4464-9
DOI :
10.1109/BCGIn.2011.178
