The probability distribution of the duration of the game in the classical ruin problem
- 1 June 1977
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 14 (2) , 416-420
- https://doi.org/10.2307/3213016
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.Keywords
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