Suppose for and and . How do we find a closed form of ? For , I know the solution is . But I have no idea about this case. It is a system of linear equations, so I think it will a unique solution. In fact, the problem comes from random walk on with absorbing states . And is the expectation of number of steps reaching absorbing states when starting at .
. Thus if we let , then it is equivalent to , which has solution as above. But how to solve this one about ?