For questions on random walks, a mathematical formalization of a path that consists of a succession of random steps.

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1answer
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Identity for simple 1D random walk

The question is to find a purely probabilistic proof of the following identity, valid for every integer $n\geqslant1$, where $(S_n)_{n\geqslant0}$ denotes a standard simple random walk: $$ E[(S_n)^...
44
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7answers
12k views

Proving that 1- and 2-d simple symmetric random walks return to the origin with probability 1

How does one prove that a simple (steps of length $1$ in directions parallel to the axes) symmetric (each possible direction is equally likely) random walk in $1$ or $2$ dimensions returns to the ...
28
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2answers
464 views

Random Walk Without Repetitions

Suppose that we simulated a random walk on $\mathbb Z$ starting at $0$. At each step, we transition from position $x$ to position $x-3,\,x-2,\,x-1,\,x+1,\,x+2,$ or $x+3$ with equal probability. If we ...
25
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2answers
618 views

Random walk: police catching the thief

This is a problem about the meeting time of several independent random walks on the lattice $\mathbb{Z}^1$: Suppose there is a thief at the origin 0 and $N$ policemen at the point 2. The thief and ...
17
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1answer
174 views

height of domino tower

Suppose you are building a domino tower using identical pieces of unit length. You place a new domino piece, one at a time, on the top of the tower. However there is a random error in the placement of ...
15
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2answers
2k views

Random walk on $n$-cycle

For a graph $G$, let $W$ be the (random) vertex occupied at the first time the random walk has visited every vertex. That is, $W$ is the last new vertex to be visited by the random walk. Prove the ...
15
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1answer
9k views

Expected Value of Random Walk

Can someone very simply explain to me how to compute the expected distance from the origin for a random walk in $1D, 2D$, and $3D$? I've seen several sources online stating that the expected distance ...
12
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3answers
436 views

Random walk on natural number

Problem: You are standing at the position $0$ on the line of natural numbers $0, 1, 2, ..., n$. From this position you go to $1$ with probability $1$, but from any other position $i$ you go to $i+1$ ...
12
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3answers
285 views

Select a new value from last $N$ values; how long until the last $N$ are all the same?

Say first we have N distinct numbers in a line, like 1,2,3,...,N, in each round, we choose a ...
12
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1answer
322 views

Random walks and diffusion limits

Imagine a long and narrow cylinder of radius r and a point particle that moves in the region bounded by the cylinder. The motion is specified as follows: starting at a point on the inner wall of the ...
11
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3answers
449 views

Problem of limit with binomial coefficients

I thought that the following would made a nice exercise, but I am not sure how to evaluate its difficulty since I often miss elementary solutions. How about you try answering it? It would be great to ...
11
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1answer
466 views

Does this modified random walk (2D) return with probability 1?

Pólya showed that a random walk (with the directions at each step uniformly distributed) on the integer lattice returns with probability 1. What if instead we consider the random walk where we are ...
11
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1answer
278 views

How to combine the four Theorems in order to prove the statement?

I have a question concerning a statement about Random Walks on $\mathbb{Z}$. Let $F$ be a distribution on $\mathbb{Z}$ which has mean $0$ and finite variance. Let $\left\{X_1,X_2,\ldots\right\}$ be an ...
10
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3answers
1k views

Random solving of a Rubik cube .

After playing a little with a Rubik cube I thought of the following problem : Suppose we start with a solved Rubik cube (a general one , with $n^3$ cubes) . Then we choose one of the moves , each ...
10
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2answers
2k views

Biased Random Walk and PDF of Time of First Return

I have a random walk process where each step the probability of $+1$ is $p$ and $-1$ is $q$, with $p+q=1$. $p$ may not equal $q$. The walker starts at zero. I want to know the probability that the ...
10
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1answer
538 views

Is there an intuitive way to see this property of random walks?

For an $n$-step symmetric simple random walk (start at origin 0 and each step 1 unit towards left or right with equal probability,) an interesting fact is that the probability that you stop exactly at ...
10
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0answers
143 views

Probability on entering direction of a simple random walk

Let $X(n)$ be a simple random walk on $\Bbb{Z}^2$. Also we define $S_{R} = \inf\{n > 0 : X(n) \notin [-R, R]^2 \} $ : the exit time of the square $[-R, R]^2$, $T_{v} = \inf\{n > 0 : X(n) = v\}$...
10
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0answers
162 views

Expected range of simple random walk in $\mathbb{Z^2}$

Let $(Y_k)_{k\geq0}$ be a simple random walk process. The range of an $n$-step random walk, $R_n$, is a random variable that characterizes the number of distinct points visited at time $n$: $$R_n=|\{...
9
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0answers
112 views

probability of completing a self-avoiding chessboard tour

Someone asked a question about self-avoiding random walks, and it made me think of the following: Consider a piece that starts at a corner of an ordinary $8 \times 8$ chessboard. At each turn, it ...
8
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6answers
364 views

simplify summation of factorial (random walk)

I suspect that the expression $$\sum_{n=0}^N \frac{(N-2n)^2}{n!(N-n)!}$$ simplifies to $$\frac{2^N}{(N-1)!}$$ But I cannot find the intermediate steps. Can someone give me a hint how I can deduce ...
8
votes
1answer
216 views

Expected number of times Random Walk crosses 0 line.

Suppose we have a simple random walk: $$ x_t = x_{t-1} + \epsilon_{t} $$ Where $$ \epsilon_{t} = iid\ \mathcal{N} (0,1) $$ Assume that x starts at ...
8
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1answer
2k views

Mean distance from origin after $N$ equal steps of Random-Walk in a $d$-dimensional space.

I am looking for a formula that evaluates the mean distance from origin after $N$ equal steps of Random-Walk in a $d$-dimensional space. Such a formula was given by "Henry" to a question by "Diego" (q/...
8
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1answer
339 views

Expected travel of random walk in arbitrary game with multiple payouts

As explained here, the average distance or 'travel' of a random walk with $N$ coin tosses approaches: $$\sqrt{\dfrac{2N}{\pi}}$$ What a beautiful result - who would've thought $\pi$ was involved! ...
8
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1answer
204 views

First player to win k matches

A series of matches are held between n identical competitors. Each is won by one of the n with equal probability (no ties). I'm looking for a probabilistic description of the outcome when looking at ...
8
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1answer
161 views

How long until everyone has been in the lead?

Earlier, I asked a question about a series of competitions: A series of matches are held between n identical competitors. Each is won by one of the n with equal probability (no ties). I'm looking ...
8
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0answers
129 views

A generalization of simple random walk

Suppose $S_n, n\geq 0$ is a martingale on $\mathbb{R}$ such that $S_0=0$ and $|S_{n+1}-S_{n}|\in [\frac{1}{2}, 1]$. Prove that there exists $c,C>0$ s.t. $$ \frac{c}{\sqrt{n}} \leq P( S_1\geq 0,\...
7
votes
3answers
717 views

Probability a random walk is back at the origin

I have a symmetric random walk that starts at the origin. With probability $1/6$ it goes right by one and with probability $1/6$ it goes left by one. With probability $4/6$ it stays put. After $n$ ...
7
votes
1answer
855 views

Question about random walk with fixed endpoint, and a reference request

We have a random walk of length $n$, starting at $0$ and ending at $-6\,\sqrt{n}$. Can we give any sort of high probability bound on the number of steps before we first reach the value $-2\, \sqrt{n}$?...
7
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1answer
243 views

Last vertex visited by the symmetric random walk on a discrete circle

$n$ cats form a circle, indexed from $0$ to $n-1$. At first, there is a ball at the cat $0$. We throw a coin with the probability of $p$ heads up. If the coin is heads up, we pass the ball clockwise, ...
7
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1answer
113 views

Random walk on cubic lattice

Suppose at every point of the cubic grid in n dimensions is a particle, and at every timestep every particle moves at random to one of its 2n neighbours. As time goes to infinity, what is the ...
7
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1answer
157 views

Two people are looking for each other. Is it faster for both to actively search, or for one to search while the other stays still?

Choose among two actors randomly and place the chosen actor at the origin. Place the other actor in the unit circle uniformly at random. Both actors move at the same speed. Both actors are said to ...
7
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1answer
96 views

If I wanted to randomly find someone in an amusement park, would I be faster roaming around or standing still?

Assumptions: The other person is constantly and randomly roaming Foot traffic concentration is the same at all points of the park Field of vision is always the same and unobstructed Same walking ...
7
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0answers
285 views

Is there a connection between the 3D random walk constant and the partition function?

In thinking about this question, I took a look at Pólya's random walk constants and was struck by the fact that an expression for the constant for a three-dimensional random walk, $$\frac3{(2\pi)^3}\...
7
votes
1answer
179 views

Recurrence of a certain class of $2$-$d$ random walks

As is well known, a symmetric random walk on $\mathbb{Z}^d$ (the lattice of $d$ dimensional vectors with integer components) is recurrent if and only if $d=1,2$. In particular it is transient for $d=3$...
6
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1answer
102 views

A number-theoretic random walk on the integers

Suppose a random walker starts at $S_0 = 2$, and walks according to the following transition probabilities: If the walker is on the $n$th prime number $p_n$, she moves to either $p_n + 1$ or $p_{n+1}...
6
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2answers
1k views

A question on calculating probabilities for the random walk

I am currently working on a high school project revolving around the 'Cliff Hanger Problem' taken from ”Fifty Challenging Problems in Probability with Solutions” by Frederick Mosteller. The problem ...
6
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1answer
212 views

Colored path in a randomly colored grid

A friend of mine asked this question a while ago which I couldn't find any appropriate answer for it. I'd appreciate any comment or help. If one colors each unit square with black/white of an $m \...
5
votes
3answers
6k views

1D random walk-probability to go back to origin

Suppose There is a random walk starting in origin while probability to move right is 1/3 and probability to move left 2/3.What is the probability to return to the origin. Thank you
5
votes
1answer
1k views

Expected number of steps in a random walk with a boundary

Let's say I am trying to climb a flight of $N$ stairs. Each time I want to take a step, I flip a fair coin. Heads means I take a step up; tails means I take a step down. If I'm at the bottom of the ...
5
votes
1answer
2k views

Probability of a biased random walk hitting an absorbing barrier in some number of steps

Let's say I have a biased random walk over the integers in some interval [0, L] where the endpoints of the interval ('0' and 'L', respectively) are fully absorbing. The walker starts at some position ...
5
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2answers
217 views

How can we directly see that the number of random walks starting and ending at the origin is ${n\choose n/2}^2$?

In an infinite two-dimensional square-shaped grid, we define four directions, north, south, east, west. We thus have $4^n$ random walks of length $n$. If we end where we started, for every north step ...
5
votes
1answer
106 views

What's the easiest way to show that a random walk can go arbitrarily far?

Let's consider the simplest situation. On the one dimensional line of integers, and we starts from the origin. Each time we either move left or right (at the same probability) for 1 unit. How do I ...
5
votes
1answer
331 views

Asymptotic behavior for the return to zero of a simple random walk

I got stuck today trying to understand an argument of the Frank den Hollander Book's. The problem is described below. Let $S_n=\sum_{i=1}^n X_i$ be the simple random walk in $\mathbb{Z}^d$, that is ...
5
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1answer
280 views

Probability of random walk returning to 0

Given a symmetric 1-dimensional random walk starting at 0 -- what is the probability of the walk returning $k$ times to 0 after $2N$ steps? I know that the total number of paths it can take is $2^{2N}...
5
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1answer
470 views

Probability of being at a certain point after $N$ steps in Random Walk with a single absorbing barrier

A random walker in $1$ dimension starts walking from a point $k>0$ with an absorbing barrier at point $0$. What is the probability that he will reach a point $m>0$ in $N$ steps? How should I ...
5
votes
2answers
186 views

Prove that a random walk on $\mathbb{Z}_+\cup \{0\}$ is transient

Prove that a random walk on $\mathbb{Z}_+ \cup \{0\}$ is transient with $p_{i,i+1}=\frac{i^2+2i+1}{2i^2+2i+1}$ and $p_{i,i-1}=\frac{i^2}{2i^2+2i+1}$. So since this Markov chain has only a single ...
5
votes
1answer
273 views

Walks of Even Length on a Bipartite Graph

Given a random walk on a simple $d$-regular bipartite graph $G$. The adjacency matrix $A'$ of $G$ may be split into blocks $$ A'=\pmatrix{ 0 &A^T\\ A&0 }, $$ The propagation operator $M=A'/d$ ...
5
votes
1answer
784 views

Probability distribution for the position of a biased random walker on the positive integers

I initialize a biased one-dimensional random walk on the positive integers at the origin, $x = 0$, which also serves as a reflecting boundary blocking steps onto the negative integers. Let's say that ...
5
votes
1answer
82 views

Modified gambler's ruin problem: quit when going bankruptcy or losing $k$ dollars in all

In each round, the gambler either wins and earns 1 dollar, or loses 1 dollar. The winning probability in each round is $p<1/2$. The gambler initially has $a$ dollars. He quits the game when he has ...
5
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1answer
48 views

counting combinations of {+1, -1} with constraints

I'm trying to count the number of ways of arranging a sequence of length $N+2L$ made of "$+1$" and "$-1$", with the following two conditions: 1) the total has to sum to $N$ 2) no partial sum is ...