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Lattice walk escaping a square of half-width two

Question

A particle starts at (0,0)(0,0) and moves on the integer lattice, each step going one unit north, south, east or west with probability 14\tfrac14 each. How many steps does it take on average to first reach the boundary of the square with corners (±2,±2)(\pm2,\pm2), i.e. a point with ∣x∣=2|x|=2 or ∣y∣=2|y|=2?

Short answer

92\tfrac92. By symmetry only three interior states matter: the centre, an edge-adjacent point like (1,0)(1,0), and a corner like (1,1)(1,1). First-step analysis gives e0=1+e1e_0=1+e_1, e1=1+14e0+12e2e_1=1+\tfrac14e_0+\tfrac12e_2, e2=1+12e1e_2=1+\tfrac12e_1, whose solution is e1=72e_1=\tfrac72, e2=114e_2=\tfrac{11}{4} and e0=92e_0=\tfrac92.

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

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