On distibutions of first passage times of martingales arising in some gambling problems

Novikov, A; Kaji, S

On distibutions of first passage times of martingales arising in some gambling problems

Novikov, A

Kaji, S

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Publication Type:: Journal Article
Citation:: Japan Journal of Industrial and Applied Mathematics, 2017, 34 (3), pp. 859 - 871
Issue Date:: 2017-11-01

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Field	Value	Language
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Kaji, S	en_US
dc.date.issued	2017-11-01	en_US
dc.identifier.citation	Japan Journal of Industrial and Applied Mathematics, 2017, 34 (3), pp. 859 - 871	en_US
dc.identifier.issn	0916-7005	en_US
dc.identifier.uri	http://hdl.handle.net/10453/125203
dc.description.abstract	© 2017, The JJIAM Publishing Committee and Springer Japan KK. Using a martingale technique we derive bounds and asymptotics for tail distributions of first passage times τb associated with crossing a level b for some gambling strategies. In particilar, for the case of martingale games with so-called “Oscar strategy” we show that P{τb>n}≤Cn-3/2 for any level b> 0.	en_US
dc.relation.ispartof	Japan Journal of Industrial and Applied Mathematics	en_US
dc.relation.isbasedon	10.1007/s13160-017-0269-5	en_US
dc.subject.classification	Applied Mathematics	en_US
dc.title	On distibutions of first passage times of martingales arising in some gambling problems	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	34	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0913 Mechanical Engineering	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	34	en_US

Abstract:

© 2017, The JJIAM Publishing Committee and Springer Japan KK. Using a martingale technique we derive bounds and asymptotics for tail distributions of first passage times τb associated with crossing a level b for some gambling strategies. In particilar, for the case of martingale games with so-called “Oscar strategy” we show that P{τb>n}≤Cn-3/2 for any level b> 0.

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http://hdl.handle.net/10453/125203