2 players A and B start with x & y dollars respectively, and they bet against each other 1 dollar each time by tossing a fair coin.
I let $X_n = x + \sum_{i=1}^{n}\xi_i$ where $\xi_i$ are i.i.d. with $P(\xi_i=\pm 1)=\frac{1}{2}$. Let $\tau_0 = \inf{\{n:X_n = 0}\}$, $\tau_{x+y} = \inf{\{n:X_n = x+y}\}$, and $\tau=\tau_0\wedge \tau_{x+y}$, which are all stopping times w.r.t. the martingale $(X_n)$.
I know that $E[\tau]=xy$, and $E[X_\tau]=x$.
Am i able to find $E[\tau^2]$ in this case? Any suggestion is welcome! Thanks!