A rule of thumb (not only) for gamblers

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A Rule of Thumb (not only) for Gamblers

Let prize X in a game be a random variable with a cumulating distribution function F, EX] 6 = 0, and Var(X) < 1. In a Gambler's Ruin Problem we consider the probability P F (A; B) of accumulating fortune A before losing the initial fortune B. Suppose our Gambler is to choose between diierent strategies with the same expected values and diierent variances. P F (A; B) is known to depend in genera...

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ژورنال

عنوان ژورنال: Stochastic Processes and their Applications

سال: 1995

ISSN: 0304-4149

DOI: 10.1016/0304-4149(95)91546-d