519概率困难derivationlong
Ruin Probability via Probability Generating Functions
题目
Consider a random walk on with absorbing barriers at and . At each step, the walker moves with probability and with probability . Let be the probability generating function of the absorption time , for .
(a) Derive a recurrence relation for . (b) For , , and , find explicitly and use it to compute and .
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你的答案
G2_s
E_tau
Var_tau