Evaluation of Certain Probabilities Associated with a Class of Markov Chains
NAVAL POSTGRADUATE SCHOOL MONTEREY CA
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Two formulae are derived for ratios of limiting probabilities for a class of finite homogeneous Markov chains. The class consists of chains obtained by a generalization of Bernoulli random walk with reflecting or absorbing barriers. These chains are closely related to problems of testing hypotheses with finite memory. The formulae are recursive in nature and hence much easier to use than classical methods.
- Operations Research