Ladder Chains: A Variation of Random Walks

MaRDI QIDQ6310879zbMATH OpenFDO

Authors Chenhe Zhang, Xiang Fang

Publication date 7 December 2018

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: The authors propose a new variation of random walks called ladder chains $L(r,s,p)$. We extend concepts such as ruin probability, hitting time, transience and recurrence of random walks to ladder chain. Take $L(2,2,p)$ for instance, we find the linear difference equations that the ruin probability and the hitting time satisfy. We also prove the recurrence of a critical case $(p=sqrt2-1)$. All approaches of these results can be generalized to solve similar problems for other ladder chains.

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