Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/m/m5/a/iii/solution

After the first step to , the right-hand walk moves away with probability and toward zero with probability . Part (ii) therefore gives return probability from that side. After a first step to , reverse the sign of the coordinate: movement away from zero has probability and toward it probability , giving return probability . Weight by the probabilities of the first step from zero:
There is no holding step at zero, so every positive-time return is included by this decomposition.

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