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Sorry, what would be the probability to reach n, this one has meaning
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C6L1V@xxxxxxx wrote:
> vysotin@xxxxxxxxx wrote:
> > Can someone help me in finding an expected time for standard linear
> > random walk with two exit states to reach one exit state. Say, a walk
> > with +1 and -1 steps (probabilities p and 1-p) starts at the position
> > 0 and has final states at -k and +n. What would be the expected time to
> > reach n?
>
> The question has no meaning, since the walk might never reach n. You
> can speak of the expected time to reach either -k or +n, or the
> probability of reaching n, or the expected time to reach n _given that
> n is reached_, etc. But the random variable T = time to reach n does
> not exist in any reasonable sense, although I guess you could put T = +
> infinity if n is never reached; this would give E(Time to reach n) =
> infinity, too.
>
> R.G. Vickson
>
>
> > I am going to go through stopping time theory but for now I'd like to
> > understand, if possible, in simple terms how such problems can be
> > handled.
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