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Lattice walk back to origin before the square edge

Question

A particle starts at (0,0)(0,0) on the integer grid and at each step moves one unit up, down, left or right, each with probability 14\tfrac14. Let SS be the boundary of the square whose corners are (±2,±2)(\pm2,\pm2). What is the probability that the particle comes back to (0,0)(0,0) before it first touches SS?

Short answer

1/31/3. After the first step the particle is at a neighbour like (1,0)(1,0); let pp be the success probability from there and qq from a corner like (1,1)(1,1). Then q=12pq=\tfrac12p (two of its moves hit SS) and p=14⋅1+14⋅0+12qp=\tfrac14\cdot1+\tfrac14\cdot0+\tfrac12q, so p=14+14pp=\tfrac14+\tfrac14p, i.e. p=13p=\tfrac13.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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