The gambler's ruin problem for a Markov chain related to the Bessel process

DOI10.1016/J.SPL.2008.02.009MaRDI QIDQ951168zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 30 October 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.02.009

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

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Cites work

• First Passage Problems for Asymmetric Wiener Processes
• scientific article; zbMATH DE number 3651447 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Notes on the variance of the number of maxima in three dimensions
• Some remarks on the Rayleigh process

Cited in

(15)

• The ruin problem for finite Markov chains
• A note on circular Markov chains
• Generalized gambler's ruin problem: explicit formulas via Siegmund duality
• Time to absorption in discounted reinforcement models.
• scientific article; zbMATH DE number 3858112 (Why is no real title available?)
• Limiting probabilities in Markov chains
• On a Markov chain roulette-type game
• On a non-homogeneous difference equation from probability theory
• First hitting problems for Markov chains that converge to a geometric Brownian motion
• La rovina del giocatore con dipendenza markoffiana nel processo di alternativa
• Candy Sharing
• Gambler’s ruin with random stopping
• A game based on successive events
• Conditional Gambler's ruin problem with arbitrary winning and losing probabilities with applications
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