The scaling and Brownian approximation conjecture for gambler's ruin probabilities

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For positive integers A,B,CA,B,C, let PA,B,C(σ)P_{A,B,C}(\sigma) denote the first hitting probability of the permutation σS3\sigma\in S_3 in the gambler's ruin walk, and let PA,B,CBM(σ)P_{A,B,C}^{\rm BM}(\sigma) denote the corresponding Brownian motion extinction probability. For n2n\ge2, write nA,nB,nCnA,nB,nC for the scaled initial state. Scaling and Brownian approximation conjecture. (a) For each A,B,C1A,B,C\ge1, σS3\sigma\in S_3, and n2n\ge2,

PnA,nB,nC(σ)PA,B,C(σ)<0.0004.\left|P_{nA,nB,nC}(\sigma)-P_{A,B,C}(\sigma)\right|<0.0004.

(b) For each A,B,C1A,B,C\ge1, with N:=A+B+CN:=A+B+C, and each σS3\sigma\in S_3,

PnA,nB,nC(σ)PA,B,CBM(σ)=O(1(nN)4)as n.\left|P_{nA,nB,nC}(\sigma)-P_{A,B,C}^{\rm BM}(\sigma)\right|=O\left(\frac{1}{(nN)^4}\right)\quad\text{as }n\to\infty.

These assertions are intended to explain the rapid convergence of the rescaled probabilities and provide a more precise version of the scaling conjecture. The stated bounds are conjectural, and the supplied context gives no resolution status.

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Sources & referencesView supporting material

Primary source

Persi Diaconis and Stewart N. Ethier, “Gambler's Ruin and the ICM”, arXiv:2011.07610 (2021).

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