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Tossing until heads and tails are level

Question

A fair coin is tossed until, for the first time, the number of heads equals the number of tails (for example, HHTHTTHHTHTT stops after 66 tosses). Let μ\mu be the expected number of tosses. What is 1/μ1/\mu?

Short answer

00. The difference of heads and tails is a simple symmetric random walk, and the stopping time is its first return to 0. That return is certain but has infinite mean (its tail decays like n−1/2n^{-1/2}), so μ=∞\mu=\infty and 1/μ=01/\mu=0.

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

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