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Quantitative Finance · Glossary

What is Absorbing state, hitting probability?

Also known as: absorbing state · hitting probability

Definition 8.9 Quantitative Methods · Chapter 8 — Markov Chains and Queues

A state is an absorbing state if the chain never leaves it (qi=0q_i = 0). For a set AA of states, the hitting probability hi=Pi(the chain ever enters A)h_i = \P_i(\text{the chain ever enters } A).

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