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发帖数: 286 | 1 ☆─────────────────────────────────────☆
terahertz (亲爱的) 于 (Sun Feb 18 09:42:41 2007) 提到:
被问到一个symmetric经典random walk问题。简化如下:
A symmetric random walk start from 0, will either hit level -a or b.
a) what's the probability it hit a before b;
b) what's the expected wait time to stopping time?
我知道a), 不过没搞定b), 考古也没有找到满意答案。不知道那位高人能给个提示?
我这里也有个提示：E[W^2-T]=E[0]=0 to solve for E[T]....
另外一道题：martingale, coin toss; if you throw HT, you got 2 dollar, if HHT
, you got 4 dollar, if HHHT, you got 8 dollar |
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