Let's say $X_i$ iid with $P(X_i=1)=P(X_i=-1)$ and $S_n=\sum_{i=0}^nX_i$. We also define the stopping time $\tau= \inf\{k:X_k=1 \}$.
How do you interpret the random variable $X_\tau$?
Let's say $X_i$ iid with $P(X_i=1)=P(X_i=-1)$ and $S_n=\sum_{i=0}^nX_i$. We also define the stopping time $\tau= \inf\{k:X_k=1 \}$.
How do you interpret the random variable $X_\tau$?
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