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A note on circular Markov chains

✍ Scribed by José Luis Palacios

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
70 KB
Volume
47
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.

✦ Synopsis

Using the electric network approach, we give closed-form formulas for the stationary probabilities and expected hitting times in balanced circular Markov chains. As an application, we give a closed-form formula for the duration of play in the general ruin problem, where the probabilities of winning a particular game depend on the amount of the current fortune.

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