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Mathematics > Probability

arXiv:1807.11729 (math)
[Submitted on 31 Jul 2018 (v1), last revised 7 Jan 2019 (this version, v3)]

Title:Expectation of the Largest bet size in Labouchere System

Authors:Yanjun Han, Guanyang Wang
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Abstract:For 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 Grimmett and Stirzaker (2001). 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.
Subjects: Probability (math.PR); Discrete Mathematics (cs.DM); Information Theory (cs.IT); Combinatorics (math.CO)
Cite as: arXiv:1807.11729 [math.PR]
  (or arXiv:1807.11729v3 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1807.11729

Submission history

From: Yanjun Han [view email]
[v1] Tue, 31 Jul 2018 09:54:05 UTC (40 KB)
[v2] Fri, 28 Dec 2018 01:17:52 UTC (39 KB)
[v3] Mon, 7 Jan 2019 05:07:28 UTC (18 KB)
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