Solution

ID: past-exam-of-the-probability-course-of-the-university-of-oxford/2015/3/c/i/solution

Since almost surely, only finitely many early values can attain the global minimum; it is a finite integer. Also . For every nonnegative integer , the unit-step property and translation invariance of the increments give
Subtracting consecutive tails yields the probability mass function
Thus has the geometric distribution counting failures before the first success, with success parameter
This support convention is essential: the minimum of an upward-biased random walk can equal its starting position, so has positive probability.

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