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

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Consider a gambler who on each gamble is equally likely to either win or lose 1 unit Starting with i show that the expected time until the gambler's fortune is either 0 or k is i(ki), i = 0,..., k. (Hint Let M, denote this expected time and condition on the result of the first gamble)

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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