Start a random walk on a vertex $v$ of a cube, with equal probability going along the three edges that you can see (to the diametrically opposite vertex $w$).
My question is: What is the expected/mean number of visits to the opposite vertex $w$ before its first return to $v$?
I only know how to use Markov property to calculate the mean number of steps until its first return to $v$, or the mean number of steps until its first visit to $w$... The methodology for my question seems quite different. Thanks for help.
Edit: My lecturer wrote that,
if we denote the number of visits to $w$ before its first return to $v$ by a random variable $X$, then $P(X=n)=\theta^{n-1}\theta^2$, where $\theta$ is the probability that the first return of the walk to its starting point precedes its first visit to the diametrically opposed vertex.
I cannot understand why the pmf of $X$ is like this. To be more specific, I don't know the intuition behind the expression of the pmf. Can anyone help me understand the formula of the pmf? Thanks.
There are different answers depending on whether the walk is required to visit $w$ at least once before returning to $v$, or not. The hint given by your lecturer suggests that they are thinking of the second interpretation. For $X$ to equal $n \ge 1$, the walk first has to reach $w$ from $v$ before returning to $v$ (this has probability $1-\theta$), then to make $n-1$ excursions from $w$ to itself that do not reach $v$ (each such excursion has probability $\theta \, $ by symmetry, and they are independent), and finally to
reach $v$ from $w$ before revisiting $w$ (this has probability $1-\theta$ by symmetry again.) Thus $$P(x=n)=(1-\theta)^2 \theta^{n-1} \,,$$ which is a little different from the formula you quoted. Therefore,
$$E(X)=\sum_{n=1}^\infty n (1-\theta)^2 \theta^{n-1}= (1-\theta)^2 \frac{d}{d \theta}\Bigl(\sum_{n=0}^\infty \theta^n \Bigr) =1 \,.$$
In fact, this is a special case of a very general identity: For simple random walk (started at a vertex $v$) on any connected regular graph (where all vertices have the same degree), the expected number of visits to $w$ before returning to $v$ is one. More generally, this holds for every irreducible Markov chain with a uniform stationary distribution. See, e.g., Prop. 1.14 (page 11) in [1].
[1] https://www.yuval-peres-books.com/markov-chains-and-mixing-times/