Tatra Mountains Mathematical Publications
Differential and Difference Equations and Applications 2008
O artykule
Data publikacji: 12 lis 2012
Zakres stron: 81 - 90
DOI: https://doi.org/10.2478/v10127-009-0027-4
Słowa kluczowe
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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.