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Random walker on a 100-metre bridge

Question

A man stands on a bridge 100100 metres long, 1717 metres from one end. Each step he moves one metre towards one end or the other with probability 12\tfrac12 each, and he stops once he reaches either end. What is the probability that he reaches the far end (the one 8383 metres away) first, and what is the expected number of steps until he stops?

Short answer

Probability 0.170.17; expected steps 17×83=141117\times83=1411. Position is a martingale, so P(far end)=17100P(\text{far end})=\tfrac{17}{100}. Also Xt2−tX_t^2-t is a martingale, which gives E[T]=a bE[T]=a\,b for distances a=17a=17 and b=83b=83 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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