MA203, Lecture no 41, Stochastic Processes-9.0 ( Markov Chain 5.0) by Tapas Chatterjee, IIT Ropar

This is a lecture note for the course MA203 (Probability theory and stochastic processes) which got cancel due to COVID-19. This is the 17th online lecture note for the above course. In this lecture, we will continue our study on the discrete time Markov Chain. We will study the short term behavior of a Markov chain in term of absorption probabilities. Later we will learn about the expected time of absorption of a Markov Chain. As an application we will learn the classical Gambler's ruin problem.