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On a non-homogeneous difference equation from probability theory

In: Tatra Mountains Mathematical Publications, vol. 43, no. 2
Jean-Luc Guilbault - Mario Lefebvre

Details:

Year, pages: 2009, 81 - 90
Keywords:
Markov chain, ruin problem, Ornstein-Uhlenbeck process, non-constant coefficients, hypergeometric function, reducible equation
About article:
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.
How to cite:
ISO 690:
Guilbault, J., Lefebvre, M. 2009. On a non-homogeneous difference equation from probability theory. In Tatra Mountains Mathematical Publications, vol. 43, no.2, pp. 81-90. 1210-3195.

APA:
Guilbault, J., Lefebvre, M. (2009). On a non-homogeneous difference equation from probability theory. Tatra Mountains Mathematical Publications, 43(2), 81-90. 1210-3195.