1. For a simple random walk {Sn}n≥0 with So == 0 and p = 1-q, p = (0, ½) (p denotes the probability that the random walk moves up), show that the maximum M = max{Sn: n > 0} satisfies r P(M ≥ r) = () for r = No.

MATLAB: An Introduction with Applications
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1.
For a simple random walk {Sn}n≥0 with So
==
0 and p = 1-q, p = (0, ½) (p denotes
the probability that the random walk moves up), show that the maximum M = max{Sn: n > 0}
satisfies
r
P(M ≥ r) =
()
for r = No.
Transcribed Image Text:1. For a simple random walk {Sn}n≥0 with So == 0 and p = 1-q, p = (0, ½) (p denotes the probability that the random walk moves up), show that the maximum M = max{Sn: n > 0} satisfies r P(M ≥ r) = () for r = No.
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