PROJECT FOR MA 550

RANDOM WALK

Instructor: Dr. Vasiliy A. Prokhorov

Student: Bikash Ranabhat

J00563923

Date: 11/21/2016

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 Table of Content

1. Random Walk 3
2. Returns and First Returns 3
3. Probability of Eventual Return .. 4
4. Expected Number of Equalizations . 6
5. Gamblers Ruin 7
6. Arc Sine Laws 11
7. References . 13

1.Random Walk [1]

Definition: Let { X k }, ( k =1, ) be a sequence of independent, identically distributed discrete

Sn X 1 + X 2 + X 3+ + X n .
random variables. Let denote the sum of Where n is positive

integer. The sequence { Sn } , ( n=1, ) is called random walk. The series (the sum of sequence
of -1S and 1S) gives the distance walked, if each part of the walk is of length one. The
E ( S n ) of S n
expectation is zero. That is, the mean of all coin flips approaches zero as the

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 '
number of flip increases. If the common range of X k s is Rm , then we say that { Sn } is a
{Rm }
random walk in [1].

Example: Simple random walk can be illustrated as the random walk on the integer number line
Z, which starts at 0 and moves +1 or -1 with equal probability. Consider a fair coin is flipped for
3 times. Initially, let the marker be at zero on the number line. If it lands on head, marker is
moved one unit to the right else marker is moved one unit to the left. After 3 flips, the marker
could be on 1,-1, 3,-3. There are 3 ways of landing on 1(by flipping two heads and one tail), 3
ways of landing on -1 (by flipping two tails and one head), 1 way of landing on 3 (by flipping
three heads) and 1 way of landing on -3(by flipping 3 tails).

Fig1. All possible random walk outcomes after 3 flips of a fair coin

2.Returns and First Returns [1]

S n=0
We say that there is return to the origin at time n, if . This is only possible when n is
even. To calculate the probability of equalization at time 2m, we need only count the number of
paths of length 2m which begin and end at the origin. The number of such paths is 2mCm . Since
each path has probability 2-2m, we have the following theorem.

Theorem 2.1 The probability of return to the origin at time 2m is given by

u2 m= 2m
Cm* 2-2m.

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The probability of return to the origin at an odd time is 0.

First return: A random walk has a first return to the origin at its 2m-th step if:

1. m 1
2. S2k 0 k < m

f 2m , is the probability of random walks first return at time t=2m. Also f 0=0.

Theorem 2.2 For n 1, the probabilities {u2k} and {f2k} are related by the equation

U2n=f0u2n+f2u2n-2++f2nu0.

Theorem 2.3 For m 1, the probability of a first return to the origin at time 2m is given by

u 2m
f 2m =
2 m1

3.Probability of Eventual Return [2]

Sn d
Definition: consider a simple random walk o Z . A return to the origin often referred to
Sn
as an equalization occurs when equals 0 for some n greater than 0. If an infinite number of
equalizations occur, then the walk is called recurrent. If only a finite number of equalizations
occur, then the walk is called transient.

Lemma 3.1 For a random walk on Z,

S2 n=0=


S 2 n+1=0Pr
Pr

f 2n
Definition: For a random walk on Z define the event to be the event that the first
f 2n
equalization occurs at time 2n. That is occurs if
S 2 n=0S 2 k 0 for k =1,2,3 n1. Pr ( f 0 )=0.

Lemma 3.2 for n 1

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 n
Pr ( S2 n=0 )= Pr ( f 2 k ) Pr ( S 2 2 =0)
n k
k=0

Lemmas 3.3 for n 1

Pr ( S n=0 )
Pr ( f 2 n )=
2 n1

d d
Definition: Define r 2 n to be the probability that an equalization on Z occurs by 2n. The
probability that a walker eventually returns to the origin is denoted by

1
x 1 d
S (x)
d d
r =lim r 2 n=1lim
n

Lemmas 3.4 for a simple random walk on zd

1
x 1 d = Pr (Sd2 n=0)

S ( x ) n=0
lim

Sn d
Theorem 3.1 Suppose is a simple random walk on Z .If d equals 1 or 2 the probability
that an equalization occurs is 1.

Sn d
Theorem 3.2. Suppose is a simple random walk on Z .If d equals 3, the probability
that an equalization occurs is less than 1.

Sn d
Theorem 3.3 Suppose is a simple random walk on Z .If d 3, the probability of
returning to origin is less than 1.
d
Theorem 3.4 For a simple random walk on Z , d=1,2 the number of equalizations is infinite.
For a simple random walk, d 3 the number of equalizations is finite.

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 d
E1
Proof: For a random walk on Z , Let the Event be the first equalization. Similarly,
En
is defined to be the nth equalization.

En=E n E n1 E n2 . E1

th
Since it the n equalization occurs, the previous equalization must also occur,

Pr ( A B )
Pr ( A|B ) =
using Pr ( B )

Pr ( E n )=Pr ( E n|En1 En2 .. E1 ) Pr ( E n1 E n2 . E1 )

E n2 E n3 . E1
E n1En2 .. E 1Pr
=
Pr ( E n|E n1 E n2 .. E1 )Pr

Simple random walk is Markov chain

Pr ( E n|E n1 )=Pr ( E 1)

Pr ( E n )=Pr ( E 1 )n

Thus, for a random walk on the one or two -dimension integer lattice, the probability that an
P ( E1 ) <1
infinite number of equalization occurs is 1. However, note that for d 3, because

lim Pr ( En ) =0
n

In other words, the probability of returning to the origin infinitely often on a random walk on
Zd d
d3 is 0. Equivalently a random walk on Z ,d 3 has a finite number of equalizations
with probability 1.

4.Expected Number of Equalization [1]

Derive a formula for the expected number of equalization in a random walk of length 2m.

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 g2 m
We begin by defining to be the number of equalization among all the random walk of
g0=0.
length 2m. and we define Next we define generating function G(x):

G(x)= g2 k x k
k=10

Consider m to be fixed positive integer and consider the set of all paths of length 2m as the
disjoint union

E2 E 4 ... . E2 m H

E2 k is the set of all paths of length 2m with first equalization at time 2k, and H is the set of all

paths of length 2m with no equalization.

E2 k
We claim the number of equalization among all paths belonging to the is equal to

|E2 k|+22 k f 2k g2 2
m k

Since k range from 1 to m we obtain recursion

m
g2 m=| E2 k|+22 k f 2 k g 2 2 m k
k =1

In fact, if we multiply the generation function G(x) by the generating function

F ( 4 x ) = 22 k f 2 k x k ,
k=0

m
The coefficient of x equals

22 k f 2 k g2 2 m k ,
k=0

m m

|E 2 k|=2 f 2k =( 1u 2m ) 2 m
2m
,
k=1 k=1

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We need to create a generating function whose mth coefficient is this term; this generating
function is

( 1u2 m ) 22 m x m ,
m=0

1
The first sum is ( 14 x ) , and second sum is U ( 4 x ) . So the functional equation which
we have been seeking is

1
G ( x )=F ( 4 x ) G ( x ) + U ( 4 x ) .
14 x

If we solve recursion for G(x) and simplify we obtain

1 1
G ( x )=
3
2
14 x
( 14 x )

The expected number of equalization among all paths of length 2m is

g 2m
22m
2

2 m

This means that the average number of equalizations among all paths of length 4m is not twice
the average number of equalizations among all paths of length 2m. In order for the average
number of equalizations to double, one must quadruple the lengths of random walk.

5.Gamblers Ruin [3]

A gambler stars with $n. Each bet he wins $1 with probability p, lose each bet with probability
(1-p). Further bets are mutually independent of previous bet (martingale).He will play until he
win $m or lose $n. If p=1/2, random walk is called unbiased and if p1/2, random walk is called
biased.

Finding Recurrence:

Define: W*= event hits $T= n+m before it hits zero.

D=$dollar at start

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 X n =Probability P (W*/D=n)

{
0, n =0
Xn= 1,n=T
Claim:
P X n +1+ (1 p ) X n1 ,0< n<T

X 0 =P ( W |D=0 )=0

X T =P ( W |D=T )=1

For 0<n<T

X n =P ( W |D=n )

E=Event win first bet

E =Event lose first bet

X n =P ( W E|D=n ) + P ( W E |D=n )

= P (E|D = n) * P (W*| E D = n) +P ( E |D = n) * P (W* | E D = n)

= p* P (W*| E D = n+1) + (1-p) * P (W* | E D = n-1)

Xn X n +1+ (1 p ) X n1 . Hence proved.

=p

Solving Recurrence:

p X n +1X n + ( 1p ) X n1 =0

characteristic equation: p r 2r + ( 1 p )=0

1 14 p ( 1 p )
r=
2p

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 1 ( 12 p )
2
=

1p
1
Roots are: p

Case biased: where p1/2 then

1 p n ( )n
x n= A ( P )
+B 1

1P n
= A ( p ) +B

Apply boundary conditions:

0=x0 =A + B B=A

1 p T
1=x T =A ( )
p
A

1
A=
1 p T
(( ) )
p
1

1
B= T
1 p
( )
p
1

( 1p p )
T
1p
( n1)/ (
p )
1
x n=

If p<1/2, ( 1p p )>1

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 nT
1P
xn ( p )
Tn m
p p
xn ( 1P ) ( ) , ( T =n+m )
=
1 p

Example: While playing Roulette, what is probability of winning $100 before

losing $1000

Solution: m=$100, n=$1000, p=9/19.

m
P
P (win $m before lose $n) ( )
1 p

100
9
P(W*) ( )
10

Case unbiased: where p=1/2

Roots for characteristic equation are double root 1

X n =( An+ B ) (1 )n

Apply boundary conditions:

0=X o=B

1=X T = A . T A= ( T1 )
n n
x n= ,
T n+ m

n
When p=1/2, P (win $m before lose $n) = n+m

Expected Playing Time:

Definition: S= steps until we hit the boundary

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 En=E x ( S|D=n )

0,n = 0
0,n=T
Claim: 1+ p E n+1 + ( 1 p ) En1 , 0<n<T

E n=

p E n+1E n+ ( 1 p ) En1=1

Biased case where p1/2:

( 1 p )n
Homogeneous: E n= A +B
p

Particular Solution: Guess En=a ( fails )

En=an+b

1 1
a=
2 p1 12 p

A ( 1 p )n n
En = + B+
p 12 p

Apply boundary conditions:

( 1p p )
T
1p
( n1)/((
p )
1)
n T
En =
12 p 12 p

Example: when m=100, n=1000, T=1100, p=9/19.

Expected (number of bets) =19000-0.56 =18999.44

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Case when unbiased where p=1/2

Homogeneous solution En= An+ B (1 )n

Particular solution: Guess

En=a fails

En=an+b fails

En=a2 +bn+c work

a=1, b=c=0

En =An+ Bn2

Apply boundary conditions:

E0=0=B

2
ET =0=AT T A=T

En =Tnn2 =( m+ n ) N n2=nm(steps)

Theorem: (Quit while you are ahead)

If you start with $n and p=1/2 and you play till you go broke. Then P (go broke) =1.

6.Arc Sine Laws [4]

1
( x )=
The probability distribution with density x ( 1x ) is called the arc sine law

in probability theory. If I is the interval I= [0, u] then

U
1 2
prob x I =Prob 0 x u= =
arcsin u
0 x ( 1x )

The arc sine law plays a crucial role in the theory of fluctuations in random walks.

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Suppose that there is an ideal coin tossing game in which each player wins or loses

a unit amount with (independent) probability at each throw. L et

S 0=o , S 1 , S 2

denote the successive cumulative gain (or loss) of the first player and marked on s-
axis which moves up or down with probability at each time unit.

2 k, 2
Let n denote the probability that a random walk of length 2n has its last

2 k, 2 =u2 u2 2
equalization at time 2k then we have n k n k

u2 v = 2 v 22 v
v ( )
u2 v is the probability that the particles have returned to the origin at time 2v

Stirlings formula:

(n + 12 ) signifies theratio of two sides tends one as n tends

N ! 2 n n ,

( v ! )2
2 v
u2 v =2 2 v ! /

1
( 2 v+ )
2 ( 2 v ) 2 2 v
2v!

2
( 2 v( ) v )
v+1
2 2
( v !)

1
( 2 v+ )
2 ( 2 v ) 2 2 v 1
2 v +1 2 v
=
2 v e v
u2 v 22 v

2 k, 2 =u2 u2 2
So, n k n k we have asymptotic approximation

1
2 k, 2
k ( nk )
n

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 k 1
If we set,
x k= then we can write
2 k, 2 ( xk )
n n
n

2
Thus, for fixed 0<x<1 and n sufficiently large 2 k, 2 = arcsin x
n
k< x n

2 k, 2 n is the probability the particle spends 2k time I positive units and 2n-2k in
negative sides on a time interval 0 to 2n. if 0<x<1 the probability that the fraction
2
k/n of time unit spent on the positive be less than x tends to
arcsin x as n

tends to infinity.

Theorem 1: If john and Andrew play a game of heads and tails of length 2n, the
2 k, 2
probability that john will be in the lead exactly 2k times equal to n .

Theorem 2: (Arc sine law for last visits)

For 0 a < b 1, we have that

b
2 1 dy 2
lim P (a k
b)= = ( arcsin b=arcsin a)
n 2k a y ( 1 y )

One remarkable feature is as y tends to 0, y tends to 1 limiting density is larger

which means that most probable scenarios are those where last visit to the origin
occurs either very early or very late.

Theorem 3: (Arc sine law for the time spent on the positive sides. Let
Nn be the

number of indices k {1, 2 . . ., n} for which

S k >0 Then for 0 a < b 1,

b
Nn 1 dy
lim P (a b)=
n n a y ( 1 y )

By properties of density observed above, that means random walk where

approximately equal properties of time are spent on either side of the origin are less
likely than random walks where almost all time is spent on one side.

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References:

[1].
https://www.dartmouth.edu/~chance/teaching_aids/books_articles/probability_book/
Chapter12.p

[2]. http://www.math.uchicago.edu/~may/VIGRE/VIGRE2011/REUPapers/Johnston.pdf

[3]. https://ocw.mit.edu/courses/electrical-engineering-and-computer-science/6-042j-
mathematics-for-computer-science-fall-2010/readings/MIT6_042JF10_chap20.pdf

[4]. http://www.math.harvard.edu/library/sternberg/slides/1180908.pdf

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