On a non-homogeneous difference equation from probability theory
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Open Access
|Nov 2012Abstract
The so-called gambler’s ruin problem in probability theory is considered for a Markov chain having transition probabilities depending on the current state. This problem leads to a non-homogeneous difference equation with non-constant coefficients for the expected duration of the game. This mathematical expectation is computed explicitly.
Language: English
Page range: 81 - 90
Published on: Nov 12, 2012
Published by: Slovak Academy of Sciences, Mathematical Institute
In partnership with: Paradigm Publishing Services
Publication frequency: 3 times per year
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© 2012 Jean-Luc Guilbault, Mario Lefebvre, published by Slovak Academy of Sciences, Mathematical Institute
This work is licensed under the Creative Commons License.