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Symmetric walk from 80 absorbed at 0 or 1000

Question

A simple symmetric random walk on the integers starts at 8080 and moves up or down by 11 with equal probability at each step. It stops when it first hits either 00 or 10001000. What is the probability that it stops at 00?

Short answer

0.920.92. The position is a martingale, so by optional stopping 80=1000⋅P(hit 1000)80=1000\cdot\mathbb{P}(\text{hit }1000), giving P(hit 1000)=0.08\mathbb{P}(\text{hit }1000)=0.08 and P(hit 0)=9201000\mathbb{P}(\text{hit }0)=\tfrac{920}{1000}.

Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.40, p.84; question and answer rewritten by SelfMadeQuant.com.

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