5971概率困难数值题long
Expected Duration of Biased Gambler's Ruin
题目
A walk starts at 2, moves +1 with probability 2/3 and -1 with probability 1/3, and stops on hitting 0 or 5. First find the probability it exits at 5, then use the linear-drift martingale to find the expected duration E[T].
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你的答案
P(exit at 5)
E[T]