Random walker on a 100-metre bridge
Question
A man stands on a bridge metres long, metres from one end. Each step he moves one metre towards one end or the other with probability each, and he stops once he reaches either end. What is the probability that he reaches the far end (the one metres away) first, and what is the expected number of steps until he stops?
Short answer
Probability ; expected steps . Position is a martingale, so . Also is a martingale, which gives for distances and to the two ends.
Adapted from Zhou, A Practical Guide to Quantitative Finance Interviews, sec. 5.2 Martingale and Random Walk, 'Drunk man', p.115; question and answer rewritten by SelfMadeQuant.com.
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Open the worked solutionLessons behind this question
- Gambler's Ruin and First Passage Times
- Expectation, Mean, and Variance
- Conditional Expectation and Variance Revisited
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