This problem is from the book Probability with martingales by Williams. It's numbered as Exercise 12.3 on page 236. It can be stated as follows:
The control system on the starship has gone wonky. All that one can do is to set a distance to be traveled. The spaceship will then move that distance in a randomly chosen direction and then stop. The object is to get into the Solar System, a ball of radius $r$. Initially, the starship is at a distance $R>r$ from the sun.
If the next hop-length is automatically set to be the current distance to the Sun.("next" and "current" being updated in the obvious way). Let $R_n$ be the distance from Sun to the starship after $n$ space-hops. Prove $\sum_{n=1}^\infty \frac{1}{R^2_n}<\infty$ holds almost everywhere.
It has puzzled me a long time. I tried to prove the series has a finite expectation, but in fact it's expectation is infinite. Does anyone has a solution?