Prob of simple random walk hitting ub/lb before lb/ub

Hi, I need an analytical solution to a problem which I believe was solved decades ago.

The problem is as following:

A particle x begins at time t=0, with a value of 0. At each time interval, t=1,2,... it is incremented by 1 with probability p, and decremented by 1 with probability q=1-p. There are two boundaries a>0 and b<0, such that when the particle hits either one it stops.

I would like to know the probability that the particle hits a (or b) before b (or a). I'd also like to have the solution with maximum intermediate steps and explanation.

In a classic text by William Feller "An Introduction to Probability Theory and its Application", this problem is discussed in full detail.

Compétences : Mathématiques

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( 0 commentaires ) London, United Kingdom

Nº du projet : #1655888

6 freelance font une offre moyenne de £22 pour ce travail


See PM,please.

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(53 Commentaires)

I can do this.

%bids___i_sum_sub_32% %project_currencyDetails_sign_sub_33% GBP en 1 jour
(22 Commentaires)

Hello. I can make necessary calculations to determine the probabilities.

%bids___i_sum_sub_35% %project_currencyDetails_sign_sub_36% GBP en 2 jours
(7 Commentaires)

I am a PhD student in theoretical physics. I've worked a lot with probability theory for my research. I have a formula for the "continuous" version of your problem, where instead of a discrete random walk one takes a Plus

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(1 Évaluation)

I am ready to do this.

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I can solve your new modified questions question. Electrical Engineer here with lots of experience in MATLAB

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