Variance of first passage time for a biased walk
Question
A particle starts at on the integers and at each step moves up by with probability and down by otherwise. Let be the number of steps until it first reaches . Find , or answer if it is infinite.
Short answer
. Conditioning on the first step, or with independent copies of . This gives , and the same argument for second moments gives .
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Open the worked solutionLessons behind this question
- Gambler's Ruin and First Passage Times
- Conditional Probability, Total Probability, and Bayes' Rule
- Worked Examples — Probability Trees, Monty Hall, and Bayesian Updating
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