Say I have a random walk that's a nearest neighbor random walk on the integers where at each step the probability of moving one step to the right is $p$ and the probability of moving one step to the left is $q = 1-p$. Let $S_n$ be such a random walk started at $0$ for some $p \in (0, {1\over2})$. Let $M = \max_{n \ge 0} S_n$. What is the distribution of $M$? I've tried messing around with martingales, but not to much success. If anybody could help, that would be helpful.
2025-01-12 23:42:42.1736725362
Distribution of $\max_{n \ge 0} S_n$, random walk.
566 Views Asked by user282967 https://math.techqa.club/user/user282967/detail AtRelated Questions in PROBABILITY-THEORY
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