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 ...Show MoreMetadata
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.
Date of Conference: 29-31 July 2011
Date Added to IEEE Xplore: 25 August 2011
ISBN Information:
Contents 