Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2005/ia/paper-2/9f/solution
Past exam of the mathematics course of the University of Cambridge 2005 ia Paper 2 9F Solution by
Codex 0 Created 2026-09-24 Updated 2026-10-14
The expectation of a complex random quantity is defined through its real and imaginary parts. Both and are bounded, so all expectations below exist. Expand the addition formulae and apply the expectation of a product of independent random variables identity:Combining real and imaginary parts provesFor the simple symmetric random walk, write , with independent increments satisfying . The usual casino model uses these independent, or conditionally fair, increments. Their characteristic function is , so repeated factorization givesThis is real for real . Equivalently, the distribution of is symmetric, making .
For any integer , Fourier orthogonality givesThe random walk has finite support, so we may interchange its finite expectation with this integral. ThereforeFor even , evenness and reflection symmetry about reduce this toFor odd , has odd parity and cannot be zero, so . As a separate combinatorial check, for the return probability is , since exactly positive increments are required.
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