Let (Xn)n⩾0 be a simple random walk on the integers: the random variables ξn≡Xn−Xn−1 are independent, with distribution
P(ξ=1)=p,P(ξ=−1)=q
where 0<p<1, and q=1−p. Consider the hitting time τ=inf{n:Xn=0 or Xn=N}, where N>1 is a given integer. For fixed s∈(0,1) define ξk=E[sτ:Xτ=0∣X0=k] for k=0,…,N. Show that the ξk satisfy a second-order difference equation, and hence find them.