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Hitting probability is the minimal nonnegative harmonic extension (hiA​=Pi​(HA<∞))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Markov process Markov chain Hitting probability
2026-10-06  0 By others on same topic  0 Discussions Create my own version
The hitting probability of a set is one on that set and transition-harmonic elsewhere by the Markov property. Finite-horizon hitting probabilities begin at the boundary indicator and increase through the same positive transition recursion. Any nonnegative solution dominates every iterate; monotone passage to infinite time shows that it dominates the hitting probability. This proves minimality without requiring almost-sure hitting.

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  1. Hitting probability
  2. Markov chain
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  • Past exam of the mathematics course of the University of Cambridge / 2014 / ib / Paper 2 / 20H / Solution

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