Gambler's ruin estimates on finite inner uniform domains

Persi Diaconis; Kelsey Houston-Edwards; Laurent Saloff-Coste

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arXiv · 1906.04879

Gambler's ruin estimates on finite inner uniform domains

Persi Diaconis·Kelsey Houston-Edwards·Laurent Saloff-Coste

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Abstract

Gambler's ruin estimates can be viewed as harmonic measure estimates for finite Markov chains which are absorbed (or killed) at boundary points. We relate such estimates to properties of the underlying chain and its Doob transform. Precisely, we show that gambler's ruin estimates reduce to a good understanding of the Perron-Frobenius eigenfunction and eigenvalue whenever the underlying chain and its Doob transform are Harnack Markov chains. Finite inner-uniform domains (say, in the square grid $\mathbb Z^n$) provide a large class of examples where these ideas apply and lead to detailed estimates. In general, understanding the behavior of the Perron-Frobenius eigenfunction remains a challenge.

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Persi Diaconis, Kelsey Houston-Edwards, Laurent Saloff-Coste. 2019-06-12. Gambler's ruin estimates on finite inner uniform domains. https://arxiv.org/abs/1906.04879

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