First hitting problems for Markov chains that converge to a geometric Brownian motion (Q410646)

This paper considers a discrete-time Markov chain with state space \(\{1, 1+\Delta x,\dots,1+k\Delta x=N\}\). The probability \(p_j\) that the chain, starting from \(1+\Delta x\), will hit \(N\) before 1, is computed. Also, the expected number \(d_j\) of transitions needed to end the game is computed. As \(\Delta x\) and\(\Delta t\) tend to zero, the Markov chain is shown to converge to a geometric Brownian motion.