Duration of gambler's ruin conditioned on a chosen boundary

ID: duration-of-gambler-s-ruin-conditioned-on-a-chosen-boundary

For a simple symmetric random walk absorbed at , the probability of absorption at is . Conditioning on that absorption gives the Doob h-transform with transition probabilities downwards and upwards. If , first-step analysis gives , . Its solution is , and dividing by gives the conditional duration.

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