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The probability distribution of the duration of the game in the classical ruin problem

Published online by Cambridge University Press:  14 July 2016

Edi Karni*
Affiliation:
Tel-Aviv University

Abstract

This paper develops simple expressions for the exact probability distribution of the duration of the game, and the probability distribution of the duration of the game conditional upon its termination with the gambler's ruin, in the classical ruin problem.

Type
Short Communications
Copyright
Copyright © Applied Probability Trust 1977 

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References

[1] Feller, W. (1968) An Introduction to Probability Theory and Its Applications, 3rd edn. Wiley, New York.Google Scholar