Sophisticated gamblers ruin and survival chances

Salil Mehta ()

Papers from arXiv.org

Abstract: This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to asymmetrical views.

Date: 2014-03
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http://arxiv.org/pdf/1403.5833 Latest version (application/pdf)

Related works:
Working Paper: Sophisticated gambler’s ruin and survival chances (2013)
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