Prelims Probability, MT 2012 C.

Goldschmidt
Simple random walk on the positive integers
The material on this handout is non-examinable but only uses techniques that we have already
seen in the course. Please send any comments or corrections to goldschm@stats.ox.ac.uk.
Consider a simple random walk (S
n
)
n0
on {0, 1, 2, . . .} with up probability p and an absorbing
barrier at 0. Let
u
k
= P(absorption at 0|S
0
= k) , k 0.
Theorem. We have
u
k
=
_
_
_
1 if p q
_
q
p
_
k
if p > q.
Proof. As in the case of a random walk on {0, 1, 2, . . . , N}, we get
u
k
= pu
k+1
+qu
k1
which, for p = q, has general solution
u
k
= A+B
_
q
p
_
k
for some constants A and B and, for p = q = 1/2, has general solution
u
k
= C +Dk
for some constants C and D. We now have only a single boundary condition, u
0
= 1, which tells
us that A = 1 B and that C = 1. So we need an argument which will allow us to determine
B and D.
Finding D is easy: u
k
is a probability for all k 0 and so, in particular, it must lie between 0
and 1. The only way to arrange for this to be true for all k is to take D = 0 (if D < 0 then
eventually 1 + Dk will be negative; if D > 0 then eventually 1 + Dk will exceed 1). So in the
symmetric case, u
k
= 1 for all k 0. The same argument works to give B = 0 for p < 1/2,
since (q/p)
k
is increasing in k.
Finding B in the case p > q is a bit more involved. We will do it by calculating u
1
. First notice
that
u
1
= P
_

_
n=0
{S
2n+1
= 0 and S
k
1, 1 k 2n}

S
0
= 1
_
=

n=0
P(S
2n+1
= 0 and S
k
1, 1 k 2n|S
0
= 1) . ()
since the union is of disjoint events. Well calculate a generic term in the sum.
Prelims Probability, MT 2012 C. Goldschmidt
Fix n 0. Any path from S
0
= 1 to S
2n+1
= 0 such that S
k
1 for 1 k 2n must have
S
2n
= 1. Moreover, it contains n up-steps and n + 1 down-steps and so must have probability
p
n
q
n+1
. How many such paths are there? Its sucient to count paths which go from 1 to 1 in
2n steps and which stay 1, since the last step is always down to 0. Its easier to think of this
as
#{paths from 1 to 1 in 2n steps} #{paths from 1 to 1 in 2n steps which go through 0}.
There are (
2n
n
) paths from 1 to 1 in 2n steps, since we need n up-steps and n down-steps and
there are (
2n
n
) ways to choose the positions of the up-steps.
To count paths from 1 to 1 in 2n steps which go through 0, we use the reection principle. This
says that there is a bijection between these paths and paths from 1 to 1 in 2n steps. The
easiest way to see why this is true is to draw a picture:
3
1
0
1
2
The solid line is a path from 1 to 1 in 2n steps (with n = 6) which goes through 0. When it
rst hits 0, create a new path by doing the opposite step each time to that done by the original
path. This gives a path from 1 to 1 in 2n steps. You can check that every path from 1 to 1
in 2n steps can be obtained in this way (and so we really do have a bijection between the two
sets of paths).
Fortunately, paths from 1 to 1 in 2n steps are easier to enumerate! There are
_
2n
n+1
_
of them,
since we just need to choose the positions of the n + 1 down-steps. So we obtain
#{paths from 1 to 1 in 2n steps which stay 1} =
_
2n
n
_

_
2n
n + 1
_
=
1
n + 1
_
2n
n
_
.
(This is the nth Catalan number, which comes up very frequently in all sorts of counting prob-
lems.)
Hence, we have that
P(S
2n+1
= 0 and S
k
1, 1 k 2n|S
0
= 1) =
1
n + 1
_
2n
n
_
p
n
q
n+1
and so, by (),
u
1
=

n=0
1
n + 1
_
2n
n
_
p
n
q
n+1
= q

n=0
1
n + 1
_
2n
n
_
(pq)
n
=
1

1 4pq
2p
,
Prelims Probability, MT 2012 C. Goldschmidt
where the last equality follows from a Taylor expansion. Now, 14pq = 14p+4p
2
= (2p1)
2
and so, since p > 1/2,

1 4pq = 2p 1. Hence, u
1
= q/p. The desired result follows. 2
It wont surprise you to learn that there are quicker ways to solve this problem, but they are less
elementary!