 Finite-interval exit times have geometric tails

For a nearest-neighbour Markov chain on $\{L,\dots ,U\}$ with positive right-step probabilities in its interior, let $m=U-L$ and $p_{\ast }>0$ be their minimum. From every interior state, at most $m$ consecutive right steps reach $U$, with probability at least $p_{\ast }^m$. The Markov property then gives $\mathbb{P}(T>km)\le (1-p_{\ast }^m{)}^k$ for the first boundary hitting time. Thus $T$ is almost surely finite and has finite expectation, regardless of the holding probability of a Markov chain at each interior state.

// Target: probability-theory.bigb