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507概率中等数值题medium

Gambler's Ruin with State-Dependent Win Probability

题目

A gambler's fortune evolves on {0,1,2,3,4}\{0, 1, 2, 3, 4\} with absorbing barriers at 00 and 44. At state kk (1k31 \le k \le 3), she wins $1\$1 with probability pk=k2k+1p_k = \frac{k}{2k+1} and loses $1\$1 with probability qk=k+12k+1q_k = \frac{k+1}{2k+1}. Starting from state 22, find the probability of ruin (absorption at 00).

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