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First-return generating function of the simple symmetric random walk (E0​[sT]=1−1−s2​)

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Probability theory Simple symmetric random walk
2026-10-06  0 By others on same topic  0 Discussions Create my own version
For the simple symmetric random walk on Z, the renewal equation relates first-return and return probability generating functions. The central-binomial return series is U(s)=(1−s2)−1/2, giving F(s)=1−U(s)−1. Its value tends to one at s=1, but its derivative diverges there: the walk has null recurrent states.

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  • Past exam of the mathematics course of the University of Cambridge / 2016 / ib / Paper 1 / 20H / c / Solution

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