Maximizing the variance of the time to ruin in a multiplayer game with selection

Ilie Grigorescu, Yi Ching Yao

Research output: Contribution to journalArticle

Abstract

We consider a game with K ≥ 2 players, each having an integer-valued fortune. On each round, a pair (i, j ) among the players with nonzero fortunes is chosen to play and the winner is decided by flipping a fair coin (independently of the process up to that time). The winner then receives a unit from the loser. All other playersffortunes remain the same. (Once a playerfs fortune reaches 0, this player is out of the game.) The game continues until only one player wins all. The choices of pairs represent the control present in the problem. While it is known that the expected time to ruin (i.e. expected duration of the game) is independent of the choices of pairs (i, j ) (the strategies), our objective is to find a strategy which maximizes the variance of the time to ruin. We show that the maximum variance is uniquely attained by the (optimal) strategy, which always selects a pair of players who have currently the largest fortunes. An explicit formula for the maximum value function is derived. By constructing a simple martingale, we also provide a short proof of a result of Ross (2009) that the expected time to ruin is independent of the strategies. A brief discussion of the (open) problem of minimizing the variance of the time to ruin is given.

Original languageEnglish (US)
Pages (from-to)610-630
Number of pages21
JournalAdvances in Applied Probability
Volume48
Issue number2
DOIs
StatePublished - Jun 1 2016

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Keywords

  • Dynamic programming
  • Gambler's ruin
  • Martingale
  • Stochastic control

ASJC Scopus subject areas

  • Applied Mathematics
  • Statistics and Probability

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