 Solution

The partial sums $S_n$ are a martingale, as are $S_n^2-n$. Since the increment has mean zero and nonzero variance, there are ${\delta }_{+},{\delta }_{-}>0$ with $\mathbb{P}(X_1\ge {\delta }_{+})>0$ and $\mathbb{P}(X_1\le -{\delta }_{-})>0$. From any point in $(-a,b)$, a sufficiently long run of either kind exits the interval. Independence in consecutive blocks therefore bounds $\mathbb{P}(T>km)$ by a geometric sequence. In particular, $T<\infty$ almost surely and $\mathbb{E}T<\infty$.

Apply the optional stopping theorem first to $T\wedge n$. Since the increments are bounded and $\mathbb{E}T<\infty$, the stopped variables are uniformly integrable and passage to the limit givesApplying the same argument to $S_n^2-n$, using $|S_T|\le \max \{a,b\}+c$, gives