On a non-homogeneous difference equation from probability theory
Guilbault, Jean-Luc ; Lefebvre, Mario
Tatra Mountains Mathematical Publications, Tome 43 (2009), / Harvested from Mathematical Institute
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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.

Publié le : 2009-01-01
DOI : https://doi.org/10.2478/tatra.v43i0.11 
@article{11,
     title = {On a non-homogeneous difference equation from probability theory},
     journal = {Tatra Mountains Mathematical Publications},
     volume = {43},
     year = {2009},
     doi = {10.2478/tatra.v43i0.11},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/11}
}

Guilbault, Jean-Luc; Lefebvre, Mario. On a non-homogeneous difference equation from probability theory. Tatra Mountains Mathematical Publications, Tome 43 (2009) . doi : 10.2478/tatra.v43i0.11. http://gdmltest.u-ga.fr/item/11/