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First Returns of the Symmetric Random Walk when p=q Basic Statistics and Data Analysis

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First Returns of the Symmetric Random Walk when p=q

Posted on August 2, 2013 by Muhammad Imdadullah No Comments Leave a comment As we know that a related probability is the one for the event in which the first visit to position x occurs at the nth step given that the walk starts at the origin, i.e. the first passage through x . For case x=0 we will find the probability of the first return to the origin. Let A be the event that Xn = 0 , let Bk be the event that the first visit to the origin occurs at the k th step. By the law of total probability
n

P (A) = P (A| Bk )P ( Bk )
k=1

(1)

Let f k = P (Bk ). The conditional probability P (A|Bk ) is the probability that the walk returns to the origin after nk steps i.e. P (A| Bk ) = pnk. Note that pn is the probability that the walk is at the origin at step n and pn = 0 if n is odd. Hence (1) can be written as
n

pn = pnk f k
k=1

(2)

Multiplying both sides of (2) by s n and summing for n

n

1,
n

we have
n

p s n
n=1

= pnk f k s
n=1 k=1

(3)

as
n n

http://itfeature.com/stochastic-process/first-returns-of-the-symmetric-random-walk-when-pq
H (s) =
n n

1/7

= 1+

1/27/2014

First Returns of the Symmetric Random Walk when p=q Basic Statistics and Data Analysis
n n

H (s) = pn s
n=0

= 1 + pn s
n=1

H (s) 1 = pn s
n=1

Therefore from (3)

H (s) 1 = pn s
n=1 n

= pnk f k s
n=1 k=1

(4)

Since p0

= 1

and f 0

= 0,

we can replace (4) by

n

H (s) 1 = pn s
n=1 n

= pnk f k s
n=0 k=0

= pn s
n=0

f
k=0

(5)

the product of two power series, also known as Convolution of the distribution.

Now if Q(s)

= n=0 f n s

is the probability generating function of the first return distribution, then

H (s) 1 = H (s)Q(s) .

From equation (8) of lecture Probability Distribution after n steps we have

H (s) 1 1 http://itfeature.com/stochastic-process/first-returns-of-the-symmetric-random-walk-when-pq = = 1

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1/27/2014

First Returns of the Symmetric Random Walk when p=q Basic Statistics and Data Analysis
H (s) 1 Q(s) = = 1 H (s) 1 = 1 (1 s ) = 1 (1 s )
2 2
1 2

1 H (s)
2
1 2

H (s) = (1 s )

1 2

(6)

The probability that the walk will, at some step, return to the origin is n=1 f n = Q(1) = 1; i.e. the return is certain. In this walk the origin or any point by translation is persistent. However, the mean number of steps until this return occurs is

nf
n=1

lim Q (s)
s 1

s = lim
s 1
1

(1 s )

In this walk which starts at the origin is certain to return there in the future, but on average, it will take an infinite number of steps.

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Example: Find the probability that a symmetric random walk starting from the origin returns there for the first time after 6 steps. solution: We require the coefficient of s 6 in the power series expansion of the pgf Q(s), which is
Q(s) = 1 (1 s )
1

1 2

1 = 1

0! 1

( s ) 1! 1

1 2

1) ( s ) 2!

1 2

1)(

1 2

2) ( s )

3!

= 1 1+ 2

+ 8

1 + 16 s

+ 0s

Hence the probability of a first return at step 6 is

1 16

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First Returns of the Symmetric Random Walk when p=q Basic Statistics and Data Analysis

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Muhammad Imdadullah Related posts: 1. Finding probability distribuiton after n steps of Random walk starting at x=0 2. A simple random walk on line or in one dimension occurs 3. A mathematical formalization of path consisting series of random steps Categories: Random Walks, Stochastic Processes | Tags: First Return, Random Walk, Stochastic Processes, Symmetric Random Walk
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