Expectation of the largest bet size in the Labouchere system

Electronic Communications in Probability

Yanjun Han¹ 

关键词: Labouchere system;    gambling theory;    martingale;    combinatorics;   

DOI  :  10.1214/19-ECP220

学科分类：统计和概率

来源: Institute of Mathematical Statistics

【 摘 要 】

For the Labouchere system with winning probability $p$ at each coup, we prove that the expectation of the largest bet size under any initial list is finite if $p>\frac{1} {2}$, and is infinite if $p\le \frac{1} {2}$, solving the open conjecture in [6]. The same result holds for a general family of betting systems, and the proof builds upon a recursive representation of the optimal betting system in the larger family.

【 授权许可】

CC BY