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Home  >  Volume 21 (2012)

Optional Stopping Theorem as an Indispensable Tool in the Determination of Ruin Probability and Expected Duration of a Game by Ugbebor, O.O., Ganiyu A.A., and Fakunle, I. Volume 21 (July, 2012), pp 85 – 94
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Abstract


This paper examines optional stopping theorem and its areas of applicability. It also examines two approaches in the determination of ruin probability and expected duration of a coin flipping game. First, an indirect approach based on the use of optional stopping theorem and second, a direct approach based on the use of Wald’s first two identities. Having compared the two results, it was observed that both indirect and direct approach yield the same result for both ruin probability and expected duration of the game.

Keywords: Optional Stopping Theorem, Coin flipping Game, Wald’s first two Identities, 
                    Ruin Probability.

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