Let (Xn)n⩾0 be a simple, symmetric random walk on the integers {…,−1,0,1,…}, with X0=0 and P(Xn+1=i±1∣Xn=i)=1/2. For each integer a⩾1, let Ta=inf{n⩾0:Xn=a}. Show that Ta is a stopping time.
Define a random variable Yn by the rule
Yn={Xn2a−Xn if n<Ta if n⩾Ta
Show that (Yn)n⩾0 is also a simple, symmetric random walk.
Let Mn=max0⩽i⩽nXn. Explain why {Mn⩾a}={Ta⩽n} for a⩾0. By using the process (Yn)n⩾0 constructed above, show that, for a⩾0,
P(Mn⩾a,Xn⩽a−1)=P(Xn⩾a+1),
and thus
P(Mn⩾a)=P(Xn⩾a)+P(Xn⩾a+1)
Hence compute
P(Mn=a)
when a and n are positive integers with n⩾a. [Hint: if n is even, then Xn must be even, and if n is odd, then Xn must be odd.]