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Last-excursion direction law at a transient junction (Pr(escape through branch j)=aj​/∑i​ai​)

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Markov process Markov chain
2026-10-14  0 By others on same topic  0 Discussions Create my own version
At a junction, let aj​ be the probability that one excursion leaves through branch j and never returns. If a=∑aj​>0, repeated returns restart the same probabilities by the Strong Markov property. Thus the probability of m returns is (1−a)m, and eventual escape through j is ∑m≥0​(1−a)maj​=aj​/a. When the branches have outward random-walk drift, the final infinite excursion tends to the corresponding end almost surely.

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  • Past exam of the mathematics course of the University of Cambridge / 2006 / ib / Paper 2 / 20C / c / Solution

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