Article ID Journal Published Year Pages File Type
1155091 Statistics & Probability Letters 2008 7 Pages PDF
Abstract

We consider a Markov chain for which the probability of moving from nn to n+1n+1 depends on nn. We calculate the probability that the chain reaches NN before 0, as well as the average duration of the game. We also consider a diffusion process which is a limiting case of the Markov chain.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
The gambler’s ruin problem for a Markov chain related to the Bessel process
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