Survival odds on a plank with sharks at one end
Question
A blindfolded person stands on a plank metres long, at an integer number of metres from the end over the sharks (so ). Each step moves them exactly metre towards one end or the other, with equal probability. Stepping off the shark end is fatal; stepping off the other end lands them safely on the ship. What is the probability they survive, as a function of ?
Short answer
. This is the symmetric gambler's ruin: the survival probability satisfies with and , so it is linear in . Equivalently, the position is a martingale.
Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.23, p.82; 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
- Simple Random Walks — Symmetric and Asymmetric
- Sample Spaces, Events, and the Probability Axioms
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