The gambler's ruin problem for a Markov chain related to the Bessel process

DOI10.1016/j.spl.2008.02.009zbMath1149.60047OpenAlexW2009254638MaRDI QIDQ951168

Mario Lefebvre

Publication date: 30 October 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.02.009

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

Related Items (2)

Generalized gambler's ruin problem: explicit formulas via Siegmund duality ⋮ On the gambler's ruin problem for a finite Markov chain

Cites Work

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• Some remarks on the Rayleigh process
• Notes on the variance of the number of maxima in three dimensions
• First Passage Problems for Asymmetric Wiener Processes

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