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Variance of first passage time for a biased walk

Question

A particle starts at 00 on the integers and at each step moves up by 11 with probability p=23p=\tfrac23 and down by 11 otherwise. Let TT be the number of steps until it first reaches 11. Find Var⁡(T)\operatorname{Var}(T), or answer −1-1 if it is infinite.

Short answer

2424. Conditioning on the first step, T=1T=1 or T=1+T′+T′′T=1+T'+T'' with independent copies of TT. This gives E[T]=12p−1=3E[T]=\tfrac{1}{2p-1}=3, and the same argument for second moments gives Var⁡(T)=4p(1−p)(2p−1)3=8/91/27=24\operatorname{Var}(T)=\tfrac{4p(1-p)}{(2p-1)^3}=\tfrac{8/9}{1/27}=24.

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