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505概率困难derivationlong

Gambler's Ruin with a Partially Reflecting Barrier

题目

Consider a Markov chain on {0,1,2,}\{0, 1, 2, \ldots\} with absorbing state 00. From state k1k \ge 1, the chain moves to k+1k+1 with probability pp and to k1k-1 with probability q=1pq = 1 - p, where 0<p<10 < p < 1. However, there is a reflecting barrier at state NN: from state NN, the chain moves to N1N-1 with probability 11 (it is always pushed back).

Starting from state kk with 1kN1 \le k \le N:

(a) Find the probability rkr_k of eventual absorption at 00.

(b) For p=q=12p = q = \tfrac{1}{2} and N=4N = 4, compute r2r_2 and the expected absorption time E[TX0=2]E[T \mid X_0 = 2].

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你的答案

a

b.r2

b.E_T