<t>I assume you mean p = 1/2 (if you mean that there is also probability for staying in place, the following can be extended to that).Let a = E(start from A and end at A), b = E(start from B and end at A), c = E(start from C and end at A), d = E(start from D and end at A). Note that b = d and a = c ...

Thanks Alan, that did the trick!

What do you mean by f=1/dX?

<t>In Baxter-Rennie they define:andthey then claim that if B(t,T) solves the following equation:thenI don't understand how to get this result. For something simple like Ho and Lee, I can solve the short rate SDE and plug it into the integral and calculate the expectation, but I'm a bit confused how ...

What wiley has reads: Pr(newborn is a boy|selected boy) = Pr(newborn is a boy & selected boy)/Pr(selected boy) = Pr(newborn is a boy & selected boy)/ (Pr(selected boy|newborn is a boy) + Pr(selected boy|newborn is a girl))

1/2 of the time the last letter is H so the sequence is ok if there were no HHTT's there before, the other 1/2 it's a T, so for the sequence to be ok the previous 3 letters have to be anything but HHT (happens 1/8 of the time).So p(n+4) = 1/2 p(n+3) + 1/2 (p(n+3) - p(n)*1/8)