Statistics

Extreme-Target Survival in an Asymmetric Gambling Walk: Exact Ruin Laws, Markov Persistence, and Noncommuting Limits

Authors: Po Hu
Comments: 9 Pages.

Consider a gambler with integer capital who gains two units after a win, loses one unitafter a loss, and is removed at the first visit to zero. The first observation is elementarybut striking: with positive drift, the probability of reaching an arbitrarily high finite targetdoes not tend to zero. It tends to the probability of never being ruined. For independenttrials with win probability p, we record the exact ruin law, identify the phase transitionat p = 1/3, and give a closed formula at criticality whose fixed-capital asymptotic is x/m.We then keep the one-step win probability equal to 1/2 and the mean payoff equalto 1/2, but let successive outcomes form a symmetric two-state Markov chain with persistence parameter θ. An explicit bounded harmonic function gives the ultimate survivalprobability1 −1 + r + r22(1 + r)rx−1, r =√(1 − θ)2 + 4θ2 − (1 − θ)2θ.This probability decreases strictly with persistence, although every model in the familyhas the same stationary win rate and the same mean increment. At θ = 1 the survivalprobability is discontinuous: its left limit is 1/4, while its endpoint value is 1/2. Consequently, the high-target limit and the high-persistence limit do not commute. Finally, if(1 − θ)x → λ, the exact transition profile is 1 − (3/4)e−λ/2. These formulas isolate howearly absorption and temporal clustering, rather than the height of a finite target alone,govern extreme-target success.
Category: Statistics