Gambler's Ruin Problem in Several Dimensions

  • Authors:

  • Andrej Kmet;Marko Petkovek

  • Affiliations:

  • Department of Mathematics, Faculty of Mathematics and Physics, University of Ljubljana, Jadranska 19, SI-1000, Ljubljana, Slovenia;Department of Mathematics, Faculty of Mathematics and Physics, University of Ljubljana, Jadranska 19, SI-1000, Ljubljana, Slovenia

  • Venue:
  • Advances in Applied Mathematics
  • Year:
  • 2002

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Abstract

We give an explicit solution of the gambler's ruin problem when the players use two or more currencies. We also determine the asymptotics of the expected duration of the game when both players have equal amounts of each currency.