Tradeoff between Step Size and Win Probability in Ruin Problems
A Mathematical Analysis of Ruin Problems using Martingales!
In this article, I ask a huge question - how to select chess puzzles to maximize rating!
We'll discuss martingales, use interesting properties of them, and solve
the tricky Gambler's ruin problem associated with asymmetric probabilities, and even
asymmetric step sizes.
We'll even see an interesting method to construct arbitrary Martingales, and how to apply it!
I hope you enjoyed reading the article
Any feedback is greatly appreciated!