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Expected duration of symmetric gambler's ruin

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Markov process Markov chain Gambler's ruin
Created 2026-09-24 Updated 2026-10-03  0 By others on same topic  0 Discussions Create my own version
For a symmetric random walk started at i∈{−a,…,b} and stopped on first reaching −a or b, the mean duration is
Ei​T=(i+a)(b−i).
(1)
In particular, E0​T=ab. This follows either from the first-step recurrence or by stopping the martingale Sn2​−n.

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  1. Gambler's ruin
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 Incoming links (4)

  • Expected time to expand a random-walk range
  • Past exam of the mathematics course of the University of Cambridge / 2015 / ia / Paper 2 / 9F / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2017 / ia / Paper 2 / 12F / a / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2017 / ia / Paper 2 / 12F / b / Solution

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