Occupation probability of a correlated random walk and a correlated ruin problem (Q1819472): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3270854 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: THE GAMBLER'S RUIN PROBLEM WITH CORRELATION / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Conditional expected durations of play given the ultimate outcome for a correlated random walk / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Transition probability matrices for correlated random walks / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A random walk problem with correlation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The correlated random walk / rank | |||
Normal rank |
Latest revision as of 18:52, 17 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Occupation probability of a correlated random walk and a correlated ruin problem |
scientific article |
Statements
Occupation probability of a correlated random walk and a correlated ruin problem (English)
0 references
1987
0 references
The authors study a random walk \(S_ n=X_ 0+X_ 1+...+X_ n\), where \(X_ i=+1\) or -1 for \(i>0\) and for some \(k\geq 0\) the sequence \((X_ n,X_{n+1},...,X_{n+k})\), \(n>0\), forms a Markov chain. They calculate in the case \(k=0\) the probabilities \(P(S_ n=j)\) and investigate ruin probabilities in the cases \(k\leq 2\).
0 references
ruin probabilities
0 references
0 references