Abstract
<p> We consider a gambling game governed by a quasi-birth-death process (QBD). A QBD is a two dimensional random process <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="left-parenthesis upper X left-parenthesis t right-parenthesis comma upper J left-parenthesis t right-parenthesis right-parenthesis"> <mml:semantics> <mml:mrow> <mml:mo stretchy="false">(</mml:mo> <mml:mi>X</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:mi>t</mml:mi> <mml:mo stretchy="false">)</mml:mo> <mml:mo>,</mml:mo> <mml:mi>J</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:mi>t</mml:mi> <mml:mo stretchy="false">)</mml:mo> <mml:mo stretchy="false">)</mml:mo> </mml:mrow> <mml:annotation encoding="application/x-tex">(X(t),J(t))</mml:annotation> </mml:semantics> </mml:math> </inline-formula> where <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper X left-parenthesis t right-parenthesis equals 0 comma 1 comma ellipsis comma upper N"> <mml:semantics> <mml:mrow> <mml:mi>X</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:mi>t</mml:mi> <mml:mo stretchy="false">)</mml:mo> <mml:mo>=</mml:mo> <mml:mn>0</mml:mn> <mml:mo>,</mml:mo> <mml:mn>1</mml:mn> <mml:mo>,</mml:mo> <mml:mo> … </mml:mo> <mml:mo>,</mml:mo> <mml:mi>N</mml:mi> </mml:mrow> <mml:annotation encoding="application/x-tex">X(t)=0,1,\dots ,N</mml:annotation> </mml:semantics> </mml:math> </inline-formula> is the level of the process and <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper J left-parenthesis t right-parenthesis equals 1 comma ellipsis comma j"> <mml:semantics> <mml:mrow> <mml:mi>J</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:mi>t</mml:mi> <mml:mo stretchy="false">)</mml:mo> <mml:mo>=</mml:mo> <mml:mn>1</mml:mn> <mml:mo>,</mml:mo> <mml:mo> … </mml:mo> <mml:mo>,</mml:mo> <mml:mi>j</mml:mi> </mml:mrow> <mml:annotation encoding="application/x-tex">J(t)=1,\dots ,j</mml:annotation> </mml:semantics> </mml:math> </inline-formula> is the phase of the process. For our gambling game, the level, <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper X left-parenthesis t right-parenthesis"> <mml:semantics> <mml:mrow> <mml:mi>X</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:mi>t</mml:mi> <mml:mo stretchy="false">)</mml:mo> </mml:mrow> <mml:annotation encoding="application/x-tex">X(t)</mml:annotation> </mml:semantics> </mml:math> </inline-formula> , represents the gambler’s stake in the game. At each play of the game, transitions may be up a level or down a level. Transition rates are given by a continuous time Markov process. Transitions are possible only to adjacent levels, but may go to any of the phases subject to the transition rates for the QBD. The gambler will play until either they reach level <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper N"> <mml:semantics> <mml:mi>N</mml:mi> <mml:annotation encoding="application/x-tex">N</mml:annotation> </mml:semantics> </mml:math> </inline-formula> , or level zero. We analyze several examples of this process. </p>