Empirical Example
As an example:
Unit Size = $10
Win/Hour = $25 (2.5 units)
Trip Length = 10 hours
Variance / Hour = 2300 units^2
Trip Bankroll = $2,000 (200 units)
So:
P(Losing $2,000 after 10 hours) =
N( (-200 - 2.5 * 10) / sqrt(2300 * 10) )
+ exp(-2 * 2.5 * 10 * 200 / (2300 * 10))
* N( (-200 + 2.5 * 10) / sqrt(2300 * 10))
P =
N( -1.48 )
+ exp( -0.43 )
* N( -1.15 )
P =
0.069 + 0.647 * 0.124
P =
0.15
P = 15% of losing $2,000 after 10 hours.