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Expected duration of symmetric gambler's ruin
...
Mathematics
Area of mathematics
Probability and statistics
Probability theory
Markov chain
Gambler's ruin
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Words: 42
For a symmetric random walk started at
i
∈
{
−
a
,
…
,
b
}
and stopped on first reaching
−
a
or
b
, the mean duration is
E
i
T
=
(
i
+
a
)
(
b
−
i
)
.
(108)
In particular,
E
0
T
=
ab
. This follows either from the first-step recurrence or by stopping the martingale
S
n
2
−
n
.
Ancestors
(7)
Gambler's ruin
Markov chain
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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