Consider a gambler who at each gamble is equally likely to either win or lose 1 unit.

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Consider a gambler who at each gamble is equally likely to either win or lose 1 unit. Suppose the gambler will quit playing when his winnings are either A or -B, A > 0, B > 0. Use an appropriate martingale to show that the expected number of bets is AB

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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