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A Generalization of a Random Walk Problem
Abstract:

Let X 1,X 2,… be i.i.d. random variables with P(X 1=-k) ∈ (0,1) for some kN, S 1=X 1 +···+ X 1. We derive an exact expression for the probability that a particle performing a simple random walk will never cross a given straight line, i.e., P(Sl > lα + β for some lN), where α ∈ [?k,k], β S 0 are rational. Further the exact distribution of sup {Sl /l|≥1} is obtained.
Keywords:Random Walk  Sums Of Independent Random Variables  Gambler Problem
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