# probability of getting to state a before state b starting from state a

If $$X_n$$ is a Markov Chain. P(0,0) = 0.5, P(0,1) = 0.5. For all states x > 0, P(x, x) = 0.5, P(x, x+1) = P(x, x-1) = 0.25. My goal is to find $$P_0$$ ($$T_0$$ < $$T_5$$), which is the probability of starting at state 0, getting to state 0 before state 5. I know there is a formula for $$P_x$$ ($$T_0$$ < $$T_5$$) when 0 < x < 5, but I have no idea how to deal with the case when x = 0. Thanks!

## 1 Answer

I'm a bit rusty on Markov chains, but suppose you know how to calculate $$P_1(T_0 < T_5)$$. Then Starting from state 0, you have two cases:

• The state remains 0 with probability $$P(0, 0) = 0.5$$, after which it's certain that you reach state 0 before state 5, or
• The state changes to 1 with probability $$P(0, 1) = 0.5$$, after which you have probability $$P_1(T_0 < T_5)$$ of reaching state 0 before state 5.

So $$P_0(T_0 < T_5)$$ would just be $$P(0, 0) \cdot 1 + P(0, 1) \cdot P_1(T_0 < T_5)$$.
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