Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2011/ia/paper-2/11f/e/solution

Now the event is to hit before , starting at . Up to the first of those two hitting times, translate the interval by one unit; its endpoints become and the starting point becomes . The gambler's ruin hitting probability is therefore
Stopping at is essential: using the original absorbing endpoint would answer a different event.

New to topics? Read the docs here!