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A note on circular Markov chains

Author

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  • Palacios, José Luis

Abstract

Using the electric network approach, we give closed-form formulas for the stationary probabilities and expected hitting times in balanced circular Markov chains. As an application, we give a closed-form formula for the duration of play in the general ruin problem, where the probabilities of winning a particular game depend on the amount of the current fortune.

Suggested Citation

  • Palacios, José Luis, 2000. "A note on circular Markov chains," Statistics & Probability Letters, Elsevier, vol. 47(3), pages 301-306, April.
    • Handle: RePEc:eee:stapro:v:47:y:2000:i:3:p:301-306
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    References listed on IDEAS

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    1. Palacios, JoséLuis & Tetali, Prasad, 1996. "A note on expected hitting times for birth and death chains," Statistics & Probability Letters, Elsevier, vol. 30(2), pages 119-125, October.
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