a***r
发帖数: 146 | 1 A fair coin toss. You win $1 if it is head, otherwise lose $1. What is the
prob that you
lose $5 before you win $10? What is the expected number of tosses before
you either
win $5 or lose $10. | j*****4
发帖数: 292 | 2 a simple way is using optinal stopping theorem.
see my post.
http://mitbbs.com/article1/Quant/31255835_3_0.html
before
【在 a***r 的大作中提到】
: A fair coin toss. You win $1 if it is head, otherwise lose $1. What is the
: prob that you
: lose $5 before you win $10? What is the expected number of tosses before
: you either
: win $5 or lose $10.
| b***k
发帖数: 2673 | 3 it's a standard symetric random walk problem, typically 3 ways to solve it,
level is counted as easy approach to hard one
1. apply martingale stopping theorem
2. Markov chain approach
3. conditional probability method
before
【在 a***r 的大作中提到】
: A fair coin toss. You win $1 if it is head, otherwise lose $1. What is the
: prob that you
: lose $5 before you win $10? What is the expected number of tosses before
: you either
: win $5 or lose $10.
|
|
