Homework 9, Random Processes

Nguyen Minh Quan

Instructor: Dr. Pham Hai Ha

September 15, 2023

Problem 1. For the symmetric random walk, consider the first passage time τm to the level m. The
random variable τ2 − τ1 is the number of steps required for the random walk to rise from level 1 to
level 2, and this random variable has the same distribution as τ1 , the number of steps required for
the random walk to rise from level 0 to level l. Furthermore, τ2 − τ1 and τ1 are independent of one
another; the latter depends only on the coin tosses 1, 2, ..., τ1 , and the former depends only on the coin
tosses τ1 + 1, τ1 + 2, ..., τ2 . Use these facts to compute P(τ2 = 2) and P(τ2 = 4).

Solution. Note that τ1 is an odd number, and so is τ2 − τ1 ,

 2
21 1
P(τ2 = 2) = P(τ1 = 1) · P(τ2 − τ1 = 1) = P(τ1 = 1) = =
2 4

and

P(τ2 = 4) = P(τ1 = 1) · P(τ2 − τ1 = 3) + P(τ1 = 3) · P(τ2 − τ1 = 1)

1 1 1
= 2 · P(τ1 = 1) · P(τ1 = 3) = 2 · · = .
2 8 8

Problem 2. Use the reflection principle to determine P(τ2 = 2k), for every k ∈ N.

Solution. Let {Mn }∞

n=1 be the corresponding symmetric random walk. By the reflection principle,

P(T2 ≤ 2k, M2k < 2) = P(T2 ≤ 2k, M2k > 2) = P(M2k > 2) = P(M2k < −2)

which implies that

P(τ2 ≤ 2k) = P(T2 ≤ 2k, M2k < 2) + P(T2 ≤ 2k, M2k = 2) + P(T2 ≤ 2k, M2k > 2)
= P(M2k = 2) + P(M2k > 2) + P(M2k < −2) = 1 − P(M2k = −2) − P(M2k = 0)
 2k    2k  
1 2k 1 2k (2k + 1)!
=1− − = 1 − 2k , ∀k ∈ N
2 k−1 2 k 2 · k! · (k + 1)!

and therefore
(2k − 1)! (2k + 1)!
P(τ2 = 2k) = P(τ2 ≤ 2k) − P(τ2 ≤ 2k − 2) = 2k−2 −
2 · k! · (k − 1)! 22k · k! · (k + 1)!
 
(2k − 1)! 2k + 1 (2k − 1)!
= 2k−2 1− = 2k−1 .
2 · k! · (k − 1)! 2k + 2 2 · (k + 1)! · (k − 1)!