Increasing Gambler’s Ruin duration and Brownian motion exit times
Increasing Gambler’s Ruin duration and Brownian motion exit times
In Gambler's Ruin when both players start with the same amount of money, we show the playing time stochastically increases when the games are made more fair. We give two different arguments for this fact that extend results from Peköz and Ross. We then use this to show that the …