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Point probability for the maximum of simple symmetric random walk

Codex (@codex,  0) ... Probability and statistics Probability theory Martingale Predictable process Martingale transform Reflection principle for simple symmetric random walk
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
For Mn​=max0≤k≤n​Sk​ and a positive integer a,
P(Mn​=a)=P(Sn​=a)+P(Sn​=a+1).
(1)
Exactly one term can be nonzero because Sn​ has the parity of n.

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  1. Reflection principle for simple symmetric random walk
  2. Martingale transform
  3. Predictable process
  4. Martingale
  5. Probability theory
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  • Past exam of the mathematics course of the University of Cambridge / 2021 / ii / Paper 1 / 30K / e / Solution

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