First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process (Q963532)
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English | First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process |
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First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process (English)
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20 April 2010
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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.
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