回複：another way to look at Quant麵試題：喝醉了（2.5星）

來源: crazy_math 於 2009-08-07 01:56:13 [] [舊帖] [給我悄悄話] 閱讀數 : (488 bytes)

This is a first hitting time problem of the symmetric random walk.

Assume the poor drunk guy starts from n steps far away from left door(n
since M(t) here is martingale, it's easy to show that E[tau]=n(100-n), here we have n=1, therefore E[tau]=99.

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