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On a non-homogeneous difference equation from probability theory

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Tatra Mountains Mathematical Publications
Differential and Difference Equations and Applications 2008

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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
Sprache:
Englisch
Zeitrahmen der Veröffentlichung:
3 Hefte pro Jahr
Fachgebiete der Zeitschrift:
Mathematik, Allgemeines