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Let $Y_n$ be a random walk process defined as $Y_n = Y_{n-1} + X_n$; $n = 1,2\ldots$ and $Y_0 = 0$, where $X_k = +1$ with probability $p$ and $-1$ with probability $1-p$. Write down the pmf for $Y_n$, and $E[Y_n]$ and $\operatorname{Var}[Y_n]$.

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    For pmf, let $z=(n+y)/2$. So $z$ steps forward, $n-z$ steps back, $z$ heads, $n-z$ tails. For $E(Y_n)$, the pmf is less pleasant than just writing down the answer. For variance, don't use pmf, use expectation of a sum fact.2011-11-24

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