First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process (Q963532): Difference between revisions

Summary: A Markov chain with state space \({0,\ldots ,N}\) and transition probabilities depending on the current state is studied. The chain can be considered as a discrete Ornstein-Uhlenbeck process. The probability that the process hits \(N\) before 0 is computed explicitly. Similarly, the probability that the process hits \(N\) before \( - M\) is computed in the case when the state space is \({ - M,\ldots ,0,\ldots ,N}\) and the transition probabilities \(p_{i,i+1}\) are not necessarily the same when \(i\) is positive and when \(i\) is negative.