A note on circular Markov chains

José Luis Palacios

Statistics & Probability Letters, 2000, vol. 47, issue 3, 301-306

Abstract: 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.

Keywords: Effective; resistance; Circular; Markov; chains; Duration; of; play (search for similar items in EconPapers)
Date: 2000
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