Solution of a roulette-type ruin problem—a correction to: a rule of thumb (not only) for gamblers

AbstractIn the paper we derive a closed form formula for a probability of success in a roulette-type game. The player begins the game having j chips and plays one chip at a time. In each game, he either wins w chips with probability p or loses his chip with probability 1−p. The game terminates when the player loses all his fortune or when his capital reaches, or exceeds level C. The present solution rectifies the incorrect one, presented in Section 3 of Kozek (Stochastic Process Appl. 55 (I) (1995) 169)