Open Access

On a non-homogeneous difference equation from probability theory

Tatra Mountains Mathematical Publications's Cover Image
Tatra Mountains Mathematical Publications
Differential and Difference Equations and Applications 2008

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.

ISSN:
1210-3195
Language:
English
Publication timeframe:
3 times per year
Journal Subjects:
Mathematics, General Mathematics