Electronic Journal of Probability

The compulsive gambler process

David Aldous, Daniel Lanoue, and Justin Salez

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In the  compulsive gambler process there is a finite set of agents who meet pairwise at random times ($i$ and $j$ meet at times of a rate-$\nu_{ij}$ Poisson process) and, upon meeting, play an instantaneous fair game in which one wins the other's money.  We introduce this process and describe some of its basic properties. Some properties are rather obvious (martingale structure;  comparison with Kingman coalescent) while others are more subtle (an "exchangeable over the money elements" property, and a construction reminiscent of the Donnelly-Kurtz look-down construction).  Several directions for possible future research are described. One - where agents meet neighbors in a  sparse graph - is studied here, and another - a continuous-space extension called the metric coalescent - is studied in Lanoue (2014).

Article information

Electron. J. Probab., Volume 20 (2015), paper no. 35, 18 pp.

Accepted: 1 April 2015
First available in Project Euclid: 4 June 2016

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Digital Object Identifier

Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60J27: Continuous-time Markov processes on discrete state spaces
Secondary: 60K35: Interacting random processes; statistical mechanics type models; percolation theory [See also 82B43, 82C43]

coalescent exchangeable interacting particle system martingale social dynamics

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Aldous, David; Lanoue, Daniel; Salez, Justin. The compulsive gambler process. Electron. J. Probab. 20 (2015), paper no. 35, 18 pp. doi:10.1214/EJP.v20-3582. https://projecteuclid.org/euclid.ejp/1465067141

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