Down-biased walk ever reaching plus one
Question
A particle starts at on the integers and at each step moves up one with probability or down one with probability , independently. What is the probability that it ever visits position ?
Short answer
. Let be the probability of ever climbing one level. Either the first step goes up, or it goes down and the particle must climb two levels: . The roots are and ; with downward drift the smaller root applies, giving .
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Open the worked solutionLessons behind this question
- Gambler's Ruin and First Passage Times
- Conditional Probability, Total Probability, and Bayes' Rule
- Worked Examples — Probability Trees, Monty Hall, and Bayesian Updating
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