INFORMAZIONI SU QUESTO ARTICOLO
Pubblicato online: 12 nov 2012
Pagine: 81 - 90
DOI: https://doi.org/10.2478/v10127-009-0027-4
Parole chiave
This content is open access.
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.