Proposition 2.1 -- gambler's ruin
ProvedMarkovMixing.gamblers_ruinmarkov-chainsmixing-timesprobability
For the fair unit-bet gambler absorbed at and , started from fortune : the probability of reaching before is , and the expected absorption time is . Both quantities are expressed by tail/first-passage sums over trajectories of the explicit gambler's chain.
Preamble
import Definitions.Def_mm_classical
Formal statement
namespace MarkovMixing
/-- **Proposition 2.1** (LPW), gambler's ruin: for fair unit bets absorbed at
`0` and `n`, started from `k` the probability of reaching `n` before `0` is
`k/n`, and the expected absorption time is `k(n-k)`. -/
theorem gamblers_ruin (n : ℕ) (hn : 0 < n) (k : Fin (n + 1)) :
hitBeforeProb (gamblersChain n) k (Fin.last n) 0 = (k.val : ℝ) / n ∧
expSetHitTime (gamblersChain n) k {0, Fin.last n} =
(k.val : ℝ) * ((n : ℝ) - (k.val : ℝ)) := by
sorry
end MarkovMixing
Source
D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, AMS 2009, https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf, Section 2.1, Proposition 2.1, p. 21