Paper 2, Section II, 12F

Probability
Part IA, 2017

(a) Let k{1,2,}k \in\{1,2, \ldots\}. For j{0,,k+1}j \in\{0, \ldots, k+1\}, let DjD_{j} be the first time at which a simple symmetric random walk on Z\mathbb{Z} with initial position jj at time 0 hits 0 or k+1k+1. Show E(Dj)=j(k+1j)\mathbb{E}\left(D_{j}\right)=j(k+1-j). [If you use a recursion relation, you do not need to prove that its solution is unique.]

(b) Let (Sn)\left(S_{n}\right) be a simple symmetric random walk on Z\mathbb{Z} starting at 0 at time n=0n=0. For k{1,2,}k \in\{1,2, \ldots\}, let TkT_{k} be the first time at which (Sn)\left(S_{n}\right) has visited kk distinct vertices. In particular, T1=0T_{1}=0. Show E(Tk+1Tk)=k\mathbb{E}\left(T_{k+1}-T_{k}\right)=k for k1k \geqslant 1. [You may use without proof that, conditional on STk=iS_{T_{k}}=i, the random variables (STk+n)n0\left(S_{T_{k}+n}\right)_{n \geqslant 0} have the distribution of a simple symmetric random walk starting at ii.]

(c) For n3n \geqslant 3, let Zn\mathbb{Z}_{n} be the circle graph consisting of vertices 0,,n10, \ldots, n-1 and edges between kk and k+1k+1 where nn is identified with 0 . Let (Yi)\left(Y_{i}\right) be a simple random walk on Zn\mathbb{Z}_{n} starting at time 0 from 0 . Thus Y0=0Y_{0}=0 and conditional on YiY_{i} the random variable Yi+1Y_{i+1} is Yi±1Y_{i} \pm 1 with equal probability (identifying k+nk+n with kk ).

The cover time TT of the simple random walk on Zn\mathbb{Z}_{n} is the first time at which the random walk has visited all vertices. Show that E(T)=n(n1)/2\mathbb{E}(T)=n(n-1) / 2.