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519概率困难derivationlong

Ruin Probability via Probability Generating Functions

题目

Consider a random walk on {0,1,2,,N}\{0, 1, 2, \ldots, N\} with absorbing barriers at 00 and NN. At each step, the walker moves +1+1 with probability pp and 1-1 with probability q=1pq = 1 - p. Let Gk(s)=E[sτX0=k]G_k(s) = E[s^{\tau} \mid X_0 = k] be the probability generating function of the absorption time τ\tau, for 0<k<N0 < k < N.

(a) Derive a recurrence relation for Gk(s)G_k(s). (b) For N=4N = 4, k=2k = 2, and p=q=1/2p = q = 1/2, find G2(s)G_2(s) explicitly and use it to compute E[τ]E[\tau] and Var(τ)\text{Var}(\tau).

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你的答案

G2_s

E_tau

Var_tau