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Guangxiang Xu

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Open access Aug 2026

A Monte Carlo Study of the Gambler’s Ruin Problem

The Gambler's Ruin problem is one of the classical stochastic models of an agent who gains or loses capital repeatedly, till reaching his target level or till his ruin. In this paper, the problem is theoretically analyzed and solved by Monte Carlo simulation. This paper obtains the closed-form expression for the ruin p...

Guangxiang Xu · 0 citations

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