  The laws of chance are often subtle and deceptive. This is why games of
chance work. People are convinced that they obey seemingly intuitive laws,
while the underlying mathematical structure reveals a different and more
complex reality. This article is a brief and rigorous journey through the
implications that the mathematical laws governing stochastic processes have on
gambling. It addresses a specific process, the random walk, and analyze some
instances of fair and unfair games by highlighting the fallacy of many of our
intuitions and beliefs. The paper gradually moves from the analysis of the
random walk properties to a comprehensive description of the ruin problem. The
introduction of the idea of transient and persistent states concludes the
discussion. Much emphasis is placed on concrete examples and on the numerical
values, in particular of the involved probabilities, and the interpretation of
the results is always more central than the demonstrative technical details,
which are nevertheless available to the reader.
