Sophisticated gamblers ruin and survival chances

📝 Original Info

• Title: Sophisticated gamblers ruin and survival chances
• ArXiv ID: 1403.5833
• Date: 2014-03-25
• Authors: Researchers from original ArXiv paper

📝 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.

💡 Deep Analysis

Deep Dive into Sophisticated gamblers ruin and survival chances.

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.

📄 Full Content

Reference