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2 GAMES · ABSORBING BOUNDARIES · ONE-STEP RECURSIONS · OPTIONAL STOPPING · KNOWING WHEN TO STOP 2 GAMES · ABSORBING BOUNDARIES · ONE-STEP RECURSIONS · OPTIONAL STOPPING · KNOWING WHEN TO STOP
000
LAB 04 · STOCHASTIC PROCESSES
Stochastic processes practice: random walks, martingales and ruin
Gambler's ruin, random walks and martingale stopping times - research puzzles at Jane Street and HRT.
TICKETS
0ACCURACY
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GAME
SKILL
RNDS
YOUR HI
LAST 8
01
Ruin WalkerRun an insurer's surplus and compute ψ(u) as it changes
CRAMER-
LUNDBERG
LUNDBERG
12
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NOT PLAYED
02
Martingale MutinyA flat edge against a proportional shock - step or bank it
OPTIONAL
STOPPING
STOPPING
30
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NOT PLAYED
NO GRADED ANSWERS YET - BOTH GAMES ASK BEFORE THEY PAY OUT> PICK A GAME
What the stochastic processes games train
Ruin Walker
Run an insurance book under the Cramér-Lundberg model - choose your safety loading, answer a closed-form question each period, and try to survive 12 periods without your surplus going negative. Read the Ruin Walker guide.
Martingale Mutiny
Sail a wealth process with a flat positive edge against a proportional storm that halves your hold - and get graded on predicting the recursion's expected value when you choose to stop. Read the Martingale Mutiny guide.